Traces of business cycles in credit-rating migrations.
Using migration data of a rating agency, this paper attempts to quantify the impact of macroeconomic conditions on credit-rating migrations. The migrations are modeled as a coupled Markov chain, where the macroeconomic factors are represented by unobserved tendency variables. In the simplest case, t...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2017-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC5398736?pdf=render |