Download This PaperThe Ordered Qualitative Model for Credit Rating Transitions
Les Cahiers du CREF of HEC Montréal Working Paper No. 04-05
56 Pages Posted: 18 Jul 2005
Date Written: December 2003
Abstract
The dynamic analysis of corporate credit ratings is needed for predicting the risk included in a credit portfolio at different horizons. In this paper, we present the estimation of an ordered probit model with factors for the migration probabilities, with its application to aggregate data regularly reported by Standard & Poor's.
Keywords: Credit rating, migration
JEL Classification: C23, C35, G11
Suggested Citation: Suggested Citation
Feng, Dingan and Gourieroux, Christian and Jasiak, Joann, The Ordered Qualitative Model for Credit Rating Transitions (December 2003). Les Cahiers du CREF of HEC Montréal Working Paper No. 04-05, Available at SSRN: https://ssrn.com/abstract=757355 or http://dx.doi.org/10.2139/ssrn.757355
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