Measurement, estimation and comparison of credit migration matrices
By Yusuf Jafry, Til Schuermann. 2004
208 citations recorded by the source corpus.
Subfields: Accounting, Finance
View Paper: https://www.semanticscholar.org/paper/d2e1a33f7c78fe978283412f81c5fbc580359e5c
How researchers see this paper
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In Accounting
- R. Faff
- R. Brooks
- P. Hill
- Halina Frydman
- Fernando Gonzalez Gonzalez
- G. Winkler
- F. Coppens
- Jonathan Wendin
In Finance
- Jonathan Wendin
- Alexander J. McNeil
- R. Faff
- R. Brooks
- P. Hill
- Halina Frydman
- Fernando Gonzalez Gonzalez
- G. Winkler
Citations in the corpus
- An introduction to recent research on credit ratings (2004, background): “Jafry and Schuermann (2004) compare the implications of the two estimation methods – the cohort/multinomial and continuous-time/duration methods – and evaluate the importance of relaxing time homogeneity assumption common to both.”
- Bayesian Inference for Issuer Heterogeneity in Credit Ratings Migration (2008, unknown): “Jafry-Schuermann mobility metric proposed in Jafry and Schuermann (2004).”
- Variations in sovereign credit quality assessments across rating agencies (2010, background): “…Capital Accord has provided a renewed interest in credit ratings since it allows banks to employ these ratings to determine the default probabilities of their debtors for the purpose of calculating the capital adequate to cover their credit risks (see, inter alia, Jafry and Schuermann (2004)).”
- Credit Rating Dynamics and Markov Mixture Models (2008, methodology): “Our data set of S&P ratings histories, CreditPro V. 6.2, is the same as used in Jafry and Schuermann (2004) and is described in some detail in Bangia et al. (2002).”
- Dependent Credit Migrations (2006, background): “The intuitive and comprehensible form of the migration matrix has made it a cornerstone of many current risk management applications, see Jafry and Schuermann (2004) for a review.”
- The Performance of Credit Rating Systems in the Assessment of Collateral used in Eurosystem Monetary Policy Operations (2007, methodology): “Drawing on the above-mentioned earlier works of Blochwitz and Hohl (2001), Tiomo (2004) and Jafry and Schuermann (2004), we analyse historical default rates published by the two rating agencies Standard & Poor’s and Moody’s.”