Bhaumik, Sumon; Landon-Lane, John S. - William Davidson Institute, University of Michigan - 2007
In this paper we describe a method to decompose a well-known measure of debt ratings mobility into it’s directional … components. We show, using sovereign debt ratings as an example, that this directional decomposition allows us to better … understand the underlying characteristics of debt ratings migration and, for the case of the data set used, that the standard …