Article ID Journal Published Year Pages File Type
5089697 Journal of Banking & Finance 2012 12 Pages PDF
Abstract
► We propose a stochastic structural break model for credit rating transition. ► We examine structural breaks in S&P500 monthly credit ratings of firms. ► Structural break of rating migrations in different industries has distinct aspects. ► The proposed model shows good out-of-sample forecasting performance.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Credit rating dynamics in the presence of unknown structural breaks
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