What people are saying - Write a review
We haven't found any reviews in the usual places.
Modeling Bond Rating Drift
Rating Changes and Bondholders Wealth
Appendix B Rating Drift Tables 197079 and 198089
1 other sections not shown
10-year horizon A-rated issues AA A BBB AAA-rated bonds Age and Rating Age Number Original Altman analysis back test BB B CCC BBB BB bond portfolio management bond rating change bond rating classes bond rating drift bonds issued CCC CC C D Chartered Financial Analysts chi-square tests collateralized bond obligations corporate bond credit quality changes debt default estimate errors five-year horizon Frydman Given Age Number investment horizon investment-grade investors issuance issuers Issues Rating AAA issues with unchanged junk bond likelihood function loss reserves MKV-NS model MKV-NS MS MKV-S MKV-S and MKV-NS MKV-S MKV-NS Moody's study Mover-Stayer Model Noninvestment grade noninvestment-grade Nonstationary Markov chains number of observations Numbers in boldface one-step transition matrixes Original of Issues parameters Rating AAA AA rating agencies Rating at Given rating history rating transition Research Foundation stability Standard & Poor's Stationary Markov chains Structured Finance transition horizon transition information transition matrixes unchanged ratings