Non-Parametric Analysis of Rating Transition and Default Data

Peter Fledelius; David Lando; Jens Perch Nielsen

Non-Parametric Analysis of Rating Transition and Default Data

Peter Fledelius, David Lando^*, Jens Perch Nielsen

^*Corresponding author for this work

Department of Finance

Royal & Sun Alliance

Research output: Contribution to journal › Journal article › Research › peer-review

Abstract

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 language	English
Journal	Journal of Investment Management
Volume	2
Issue number	2
Pages (from-to)	71-85
Number of pages	15
ISSN	1545-9144
Publication status	Published - 2004

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title = "Non-Parametric Analysis of Rating Transition and Default Data",

abstract = "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.",

keywords = "Kreditrisiko, Renterisiko, Ratings & Rankings, Erhvervsobligationer",

author = "Peter Fledelius and David Lando and {Perch Nielsen}, Jens",

year = "2004",

language = "English",

volume = "2",

pages = "71--85",

journal = "Journal of Investment Management",

issn = "1545-9144",

publisher = "Stallion Press",

number = "2",

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TY - JOUR

T1 - Non-Parametric Analysis of Rating Transition and Default Data

AU - Fledelius, Peter

AU - Lando, David

AU - Perch Nielsen, Jens

PY - 2004

Y1 - 2004

N2 - 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.

AB - 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.

KW - Kreditrisiko

KW - Renterisiko

KW - Ratings & Rankings

KW - Erhvervsobligationer

M3 - Journal article

SN - 1545-9144

VL - 2

SP - 71

EP - 85

JO - Journal of Investment Management

JF - Journal of Investment Management

IS - 2

ER -