Traces of business cycles in credit-rating migrations

Using migration data of a rating agency, this paper attempts to quantify the impact of macroeconomic conditions on credit-rating migrations. The migrations are modeled as a coupled Markov chain, where the macroeconomic factors are represented by unobserved tendency variables. In the simplest case, t...

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Detalles Bibliográficos
Autores principales: Boreiko, Dmitri, Kaniovski, Serguei, Kaniovski, Yuri, Pflug, Georg
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2017
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5398736/
https://www.ncbi.nlm.nih.gov/pubmed/28426758
http://dx.doi.org/10.1371/journal.pone.0175911

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5398736/
https://www.ncbi.nlm.nih.gov/pubmed/28426758
http://dx.doi.org/10.1371/journal.pone.0175911

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