Journal of Investment Management, Vol. 2, No. 2, Second Quarter 2004
Posted: 26 Jul 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
Suggested Citation: Suggested Citation
Fledelius, Peter and 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: https://ssrn.com/abstract=555422