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Credit Rating Dynamics in the Presence of Unknown Structural Breaks

https://doi.org/10.2139/ssrn.1694061
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24/24 checkable references clean · checked 2026-09-17

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

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The 24 checked references that resolve
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Pricing Credit Derivatives with Rating Transitions
resolves10.1016/s0378-4266(98)00066-1
The importance and subtlety of credit rating migration
resolves10.1016/j.jbankfin.2004.06.006
How rating agencies achieve rating stability
resolves10.1007/978-1-4612-4348-9
Statistical Models Based on Counting Processes
resolves10.1016/s0378-4266(01)00229-1
Ratings migration and the business cycle, with application to credit portfolio stress testing
resolves10.1111/0022-1082.00057
The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?
resolves10.1016/j.jbankfin.2004.06.003
Confidence sets for continuous-time rating transition probabilities
resolves10.1080/14697680500039951
Analysis of default data using hidden Markov models
resolves10.3905/jfi.2006.656006
Correlated Default Risk
resolves10.1111/j.1540-6261.2009.01495.x
Frailty Correlated Default
resolves10.1016/j.jbankfin.2006.10.023
A simple model of credit contagion
resolves10.21314/jor.2003.089
Dependent defaults in models of portfolio credit risk
resolves10.1016/j.jbankfin.2007.09.013
Credit rating dynamics and Markov mixture models
resolves10.1016/j.jfi.2005.12.002
Procyclicality in Basel II: Can we treat the disease without killing the patient?
resolves10.1016/j.jbankfin.2004.06.004
Measurement, estimation and comparison of credit migration matrices
resolves10.1093/rfs/10.2.481
A Markov Model for the Term Structure of Credit Risk Spreads
resolves10.1023/A:1018672511549
resolves10.2139/ssrn.252517
Estimating Credit Rating Transition Probabilities for Corporate Bonds
resolves10.1007/0-387-22765-2_6
Exponential Families of Markov Processes
resolves10.5705/ss.2011.025a
A simple Bayesian approach to multiple change-points
resolves10.1515/9781400829194
Credit Risk Modeling
resolves10.1016/s0378-4266(01)00228-x
Analyzing rating transitions and rating drift with continuous observations
resolves10.1016/s0378-4266(99)00057-6
Stability of rating transitions
resolves10.1016/s0378-4266(99)00056-4
Credit risk rating systems at large US banks
The 4 references without a DOI — listed, not checked
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no DOI — not checkedref8
no DOI — not checkedref14
no DOI — not checkedSome elements of rating-based credit risk modeling
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