Güttler, Andre; Raupach, Peter - Deutsche Bundesbank <Frankfurt, Main> / … - 2008
Rating downgrades are known to make subsequent downgrades more likely. We analyze theimpact of this ‘downward momentum’ on credit portfolio risk. Using S&P ratings from 1996to 2005, we estimate a transition matrix that is insensitive to and a second matrix that is sensitiveto previous...