Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing

By A. Bangia, Francis X. Diebold, Til Schuermann. 2002

534 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/947cd8a2e3d7bd9631ae997d8f8dd62dca194167

How researchers see this paper

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

In Finance

Citations in the corpus

Asymmetric effects of the business cycle on bank credit risk. (2009, background): “Likewise, in their analysis of the linkage between macroeconomic conditions and migration matrices, Bangia et al. (2002) find that downgrading probabilities, particularly in the extreme classes, increase significantly in recessions.”
Business and default cycles for credit risk (2003, unknown): “This may explain ﬁndings as in Nickell et al. (2000) and Bangia et al. (2002).”
Stress Testing Banks (2014, methodology): “With that in mind, Bangia et al. (2002), following broadly the CreditMetrics framework, show 14 See Kupiec (1999) and Berkowitz (2000) for more extensive discussions of VaR-based stress testing.”
Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy (2002, background): “Nickell et al (2000) and Bangia et al (2001) find a similar pattern in the ratings of corporate borrowers, noting that downgrades tend to be concentrated at the trough of the economic cycle, and upgrades are more likely when economic conditions are robust.”
Variations in sovereign credit quality assessments across rating agencies (2010, background): “Downgrade momentum exists at both the corporate (see, inter alia, Altman and Kao, 1992; Bangia et al, 2002; Lando and Skodeberg, 2002) and sovereign (see Fuertes and Kalotychou, 2007) levels.”
Theory and Evidence on the Dynamic Interactions between Sovereign Credit Default Swaps and Currency Options (2007, background): “3See for example, Bevan and Garzarelli (2000), Frye (2000), Pedrosa and Roll (1998), Collin-Dufresne, Goldstein, and Martin (2001), Aunon-Nerin, Cossin, Hricko, and Huang (2002), Bangia, Diebold, Kronimus, Schagen, and Schuermann (2002) , Altman, Brady, Resti, and Sironi (2004), Bakshi, Madan, and ”
Credit Cycles and Macro Fundamentals (2009, unknown): “This co-variation with the business cycle has been demonstrated in a number of earlier papers, Bangia et al. (2002), Nickell et al.”
Credit Rating Dynamics and Markov Mixture Models (2008, methodology): “where pA ij and p Q ij are entries in PA(1),PQ(1), respectively. We will refer to ( 4 ) as the basic fore-”
Are Credit Ratings Procyclical (2004, background): “2646 J.D. Amato, C.H. Furfine / Journal of Banking & Finance 28 (2004) 2641–2677 Bangia et al. (2002) relate rating transitions to the state of the business cycle, without further conditioning on measures of true underlying default risk that may, in part, be procyclical.”
Modeling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model (2004, background): “is substantial evidence that default rates are tied to the business cycle (Nickell, Perraudin, and Varotto 2000; Bangia et al. 2002).”