Credit Rating Dynamics and Markov Mixture Models

By Halina Frydman, Til Schuermann. 2008

171 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/31d502da4f511f6d1c0f761117d87603cdc98434

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Accounting

1. Jonathan Wendin
2. R. Brooks
3. Alexander J. McNeil
4. P. Hill
5. R. Faff
6. Nick Bontis
7. Gerhard Kristandl

In Finance

1. Jonathan Wendin
2. Alexander J. McNeil
3. R. Brooks
4. P. Hill
5. R. Faff
6. Kjersti Aas
7. Paul Embrechts
8. Andrew J. Patton

Citations in the corpus

• Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions (2012, unknown): “Subsequently, Frydman and Schuermann (2008) showed that a mixture of Markov chains statistically dominates a single Markov chain model.”
• Dependent Credit Migrations (2006, background): “Gagliardini and Gouriéroux (2005b) present a more general framework for rating dynamics, based on stochastic migration matrices.”
• Variations in sovereign credit quality assessments across rating agencies (2010, methodology): “Downgrade momentum exists at both the corporate (see, inter alia, Altman and Kao, 1992; Bangia et al., 2002; Lando and Skodeberg, 2002; Frydman and Schuermann, 2008) and sovereign (see Fuertes and Kalotychou, 2007) levels.”