Cargando…
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...
Autores principales: | Boreiko, Dmitri, Kaniovski, Serguei, Kaniovski, Yuri, Pflug, Georg |
---|---|
Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2017
|
Materias: | |
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 |
Ejemplares similares
-
Credit rating in dynamic response to the nature of firms and the business model of rating agencies: evidence from the Chinese bond market
por: Huo, Yan, et al.
Publicado: (2022) -
Rating based modeling of credit risk: theory and application of migration matrices
por: Trueck, Stefan, et al.
Publicado: (2009) -
Can Policy Tame the Credit Cycle?
por: Stein, Jeremy C.
Publicado: (2021) -
MINDING THEIR OWN BUSINESS: MARRIED WOMEN AND CREDIT IN EARLY EIGHTEENTH-CENTURY LONDON
por: Shepard, Alexandra
Publicado: (2015) -
Does the Credit Cycle Have an Impact on Happiness?
por: Li, Tinghui, et al.
Publicado: (2019)