Analyzing rating transitions and rating drift with continuous observations

By D. Lando, Torben M. Skødeberg. 2002

494 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/cde7f3a24514b56fe3422d82efbb6be0fa801868

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Citations in the corpus

The relationship between credit default swap spreads, bond yields, and credit rating announcements (2004, background): “Researchers such as Altman and Kao (1992) and Lando and Skodeberg (2002) find that the probability of the credit rating of a company changing depends on how long the company has been in its current rating category.”
The Defaultable Lévy Term Structure: Ratings and Restructuring (2003, background): “Andersen, Borgan, Gill, and Keiding (1993) for the mathematical background or Lando and Skdeberg (2002) for applications in rating migration processes.”
Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration (2008, unknown): “As mentioned before, this is to benefit from some of the statistical advantages mentioned in Lando and Skodeberg (2002).”
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.”
An introduction to recent research on credit ratings (2004, methodology): “All rights reserved. doi:10.1016/j.jbankfin.2004.06.002 continuous-time/duration estimation methods (as developed by Lando and Skødeberg, 2002) can extract more information about the probabilities of rare transitions, even if such transitions are not actually observed in the data.”
Transition Matrix Models of Consumer Credit Ratings (2012, background): “JEL classification: C25; G21; G33 Keywords: Markov chain; Credit risk; Logistic regression; Credit scoring”
A Point-in-Time Perspective on Through-the-Cycle Ratings (2006, background): “Treacy and Carey (2000) described the through-thecycle rating methodology as a rating assessment in a worst-case scenario, at the bottom of a presumed credit-quality cycle.”
Decomposing Swap Spreads (2008, unknown): “Results in Lando and Skødeberg (2002) indicate that this is not an unreasonable approximation for financial firms.”
Estimation in the Mixture of Markov Chains Moving With Different Speeds (2005, result): “Similar to some other studies (see, e.g., Lando and Skodeberg 2002), here we consider rating withdrawal as any other state.”
Avoiding the rating bounce: why rating agencies are slow to react to new information (2005, background): “Altman and Kao (1998) and Lando and Skødeberg (2002) document the existence of serial dependence in rating changes.”
Dependent Credit Migrations (2006, methodology): “This feature should not be confounded with what is known as rating momentum on the obligor level, where a recent downgrade of an obligor increases its probability of further downgrades or default (Lando and Skødeberg, 2002).”