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Non-Parametric Analysis of Rating Transition and Default Data


Peter Fledelius


Royal&SunAlliance

David Lando


Copenhagen Business School - Department of Finance

Jens Perch Nielsen


City University London - Cass Business School

Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004

Abstract:     
We demonstrate the use of non-parametric intensity estimation - including construction of pointwise confidence sets - for analyzing rating transition data. We find that transition intensities away from the class studied here for illustration strongly depend on the direction of the previous move but that this dependence vanishes after 2-3 years.

Keywords: Credit ratings, transition probabilities, non-Markov effects, non-parametric analysis

JEL Classification: G00

Accepted Paper Series


Date posted: July 26, 2004  

Suggested Citation

Fledelius, Peter, Lando, David and Nielsen, Jens Perch, Non-Parametric Analysis of Rating Transition and Default Data. Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004. Available at SSRN: http://ssrn.com/abstract=555422

Contact Information

Peter Fledelius (Contact Author)
Royal&SunAlliance ( email )
60 Gammel Kongevej
DK-1790 Copenhagen V
Denmark
David Lando
Copenhagen Business School - Department of Finance ( email )
Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark
+45 3815 3600 (Fax)
Jens Perch Nielsen
City University London - Cass Business School ( email )
106 Bunhill Row
London, EC1Y 8TZ
United Kingdom
Feedback to SSRN (Beta)


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