The estimation of transition matrices for sovereign credit ratings

By Yen-Ting Hu, Rüdiger Kiesel, W. Perraudin. 2002

185 citations recorded by the source corpus.

Subfields: Finance

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Variations in sovereign credit quality assessments across rating agencies (2010, methodology): “Accordingly, we follow Hu et al. (2002) in producing a sovereign credit”
What 'Hides' Behind Sovereign Debt Ratings? (2007, unknown): “For example, this procedure was used by Hu et al. (2002), BissoondoyalBheenick (2005) and Bissoondoyal-Bheenick et al. (2005).”
Dependent Credit Migrations (2006, background): “Several empirical surveys have found evidence of time variation in migration intensities and confirmed that this time variation may to some extent be explained by observed macroeconomic variables, see Nickell et al. (2000), Bangia et al. (2002) and Hu et al. (2002).”
A NON-RECURSIVE REGRESSION MODEL FOR COUNTRY RISK RATING (2003, methodology): “We refer the reader to Hu et al. (2002) for the evolution of the number of countries rated by Standard & Poor.”
PIGS or Lambs? The European Sovereign Debt Crisis and the Role of Rating Agencies (2011, methodology): “Finally, taking into account the ordinal nature of sovereign debt ratings we follow the approach of Hu et al. (2002) or Block and Vaaler (2004 )b y performing an ordered logit regression (see Column 4 in Table 2). Again, the PIGS× Crisis interaction term is negative and significant at a 99 percent”