Estimating Credit Rating Transition Probabilities for Corporate Bonds

By Dimitrios Kavvathas. 2000

144 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a2c099317bc59d75c6920ea6c6071a1b305955e1

How researchers see this paper

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

In Economics and Econometrics

In Finance

Citations in the corpus

Non-commercial Research and Educational Use including without Limitation Use in Instruction at Your Institution, Sending It to Specific Colleagues That You Know, and Providing a Copy to Your Institution's Administrator. All Other Uses, Reproduction and Distribution, including without Limitation Comm (2005, unknown): “All these methods require considerable A u t h o r ' s p e r s o n a l”
Measuring and Managing Credit Risk (2004, background): “External and Internal Ratings 53 Alternative estimation methods that do not suffer from these limitations have been proposed by Kavvathas (2000) and Lando and Skødeberg (2002) among others.”
Tepper School of Business 7-2008 Measuring Default Risk Premia from Default Swap Rates and EDFs (2007, unknown): “As for the estimated actual default probabilities, Driessen’s reliance on average frequency of default for bonds of the same rating rules out conditioning on current market conditions, which Kavvathas (2001) and others have shown to be significant.”
Business and default cycles for credit risk (2003, background): “This appears both from theoretical models on real business cycles, like for example Williamson (1987), Kiyotaki and Moore (1997), Bernanke, Gertler, and Gilchrist (1999), and Kwark (2002), and from empirical evidence, see for example Wilson (1997a,b), Nickell, Perraudin, and Varotto (2000), Bangia, ”
Bankruptcy Prediction With Industry Effects (2004, unknown): “3 Kavvathas (2000) considers industry effects in his study of rating transitions.”
Modeling the Effect of Macroeconomic Factors on Corporate Default and Credit Rating Transitions (2012, unknown): “Numerous other studies showing that default probability is sensitive to macroeconomic factors include Kavvathas (2001), Carling, Jacobson, Linde, and Roszbach (2007), Couderc and Renault (2004) and Duffie et al. (2007).”
Credit Cycles and Macro Fundamentals (2009, unknown): “example Kavvathas (2001) and Das et al. (2002) and Lucas and Klaassen (2006).”
The Multi-State Latent Factor Intensity Model for Credit Rating Transitions (2008, unknown): “This finding is consistent with the conclusions in the earlier studies of Kavvathas (2001) and Das et al. (2002).”