Stability of ratings transitions

By Pamela Nickell, W. Perraudin, S. Varotto. 2001

551 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/af0f7b81e94228367e3650b22cd6ffe237f20d7f

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Citations in the corpus

The differential impact of leverage on the default risk of small and large firms (2020, methodology): “Indeed, default risk is sensitive to all such effects (Nickell et al., 2000); these effects are implicitly accounted for in our model where observed insolvent and bankrupt firms are employed.”
Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities (2005, methodology): “Nickell et al. (2000) present similar evidence based on Moody’s data, but they define three regimes: peaks, troughs and normal times.”
Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics (2009, unknown): “Other authors who tried to consider business cycle conditions in credit risk models include Lis et al (2000), Nickell et al (2000), Kent and D’Arcy (2001), Lowe (2002), Berger and Udell (2003), Carling et al (2002, 2004), Jiménez and Saurina (2006) or Figlewski et al (2006) 1.”
Measuring and Managing Credit Risk (2004, background): “…matrices also appear to be dependent on the economic cycle as downgrades and default probabilities increase significantly during recessions.10 Nickell, Perraudin, and Varotto (2000) classify the years between 1970 and 1997 into three categories (growth, stability, and recession) according to…”
Corporate Credit Risk Modelling and the Macroeconomy (2004, unknown): “Nickell, Perraudin and Varotto [ 33 ] use dummy indicators to”
Factors determining capital structure and corporate performance in India: Studying the business cycle effects (2016, background): “Studies by Nickell, Perraudin, and Varotto (2000) and Bangia, Diebold, Kronimus, Schagen, and Schuermann (2002) have found that the prevailing macroeconomic conditions have an impact on the corporate risk behavior.”
The Performance of Credit Rating Systems in the Assessment of Collateral used in Eurosystem Monetary Policy Operations (2007, background): “8 Empirical evidence for these arguments is provided by Nickel et al. (2000). Later on we will relax this assumption when presenting for demonstration purposes a calibration test accounting for default correlation.”