Non-Parametric Analysis of Rating Transition and Default Data

Peter Fledelius, David Lando*, Jens Perch Nielsen

*Corresponding author af dette arbejde

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Abstrakt

We demonstrate the use of non-parametric intensity estimation - including construction of pointwise confidence sets - for analyzing rating transition data. We find that transition intensities away from the class studied here for illustration strongly depend on the direction of the previous move but that this dependence vanishes after 2-3 years.
OriginalsprogEngelsk
TidsskriftJournal of Investment Management
Vol/bind2
Udgave nummer2
Sider (fra-til)71-85
Antal sider15
ISSN1545-9144
StatusUdgivet - 2004

Emneord

  • Kreditrisiko
  • Renterisiko
  • Ratings & Rankings
  • Erhvervsobligationer

Citationsformater