Business Cycles and Conditional Credit-Rating Migration Matrices

Dmitri Boreiko (), Serguei Kaniovski (), Yuri (Yuriy) Kaniovski (Kaniovskyi) () and Georg Ch. Pflug ()
Additional contact information
Serguei Kaniovski: Austrian Institute for Economic Research (WIFO), Arsenal 20, A-1030 Vienna, Austria
Georg Ch. Pflug: Department of Statistics and Operations Research, University of Vienna, Oskar Morgenstern Platz 1, A-1090 Vienna, Austria

Quarterly Journal of Finance (QJF), 2018, vol. 08, issue 04, 1-19

Abstract: To quantify the impact of business cycles on the dynamics of credit ratings, conditional migration matrices and probabilities of the corresponding macroeconomic scenarios are estimated. The approach is tested on a Standard and Poor’s (S&P’s) dataset that covers the period from 1991 to 2013. The difference between the conditional probabilities and their unconditional counterparts is evaluated. It is the greatest, up to 300%, for contraction periods and downgrading probabilities.

Keywords: Business cycle; credit-rating migration; representative agent; conditional migration probability (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S2010139218400050
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:qjfxxx:v:08:y:2018:i:04:n:s2010139218400050

Ordering information: This journal article can be ordered from

DOI: 10.1142/S2010139218400050

Access Statistics for this article

Quarterly Journal of Finance (QJF) is currently edited by Fernando Zapatero

More articles in Quarterly Journal of Finance (QJF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().