Non-Parametric Analysis of Rating Transition and Default Data

Peter Fledelius, David Lando*, Jens Perch Nielsen

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


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.
Original languageEnglish
JournalJournal of Investment Management
Issue number2
Pages (from-to)71-85
Number of pages15
Publication statusPublished - 2004

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