Non-Parametric Analysis of Rating Transition and Default Data
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
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
Date posted: July 26, 2004
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