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  • Search: subject:"Credit rating transition"
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Year of publication
Subject
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Credit rating 3 Kreditwürdigkeit 3 credit rating transition 3 Credit risk 2 Kreditrisiko 2 Monte Carlo simulation 2 Monte-Carlo-Simulation 2 Standard & Poor's rating 2 bedded option premium 2 embedded call/put option 2 more dimensional tree 2 rating development process 2 Anleihe 1 Autocorrelated discrete variables 1 Autocorrelation 1 Autokorrelation 1 Bond 1 Credit rating transition 1 Dynamic binary choice 1 Estimation 1 Estimation theory 1 Identification 1 Markov chain 1 Markov-Kette 1 Maximum likelihood estimation 1 Maximum-Likelihood-Schätzung 1 Nichtlineare Regression 1 Nonlinear dynamic panel data 1 Nonlinear regression 1 Option pricing theory 1 Option trading 1 Optionsgeschäft 1 Optionspreistheorie 1 Panel 1 Panel study 1 Persistence of ratings 1 Probit model 1 Probit-Modell 1 Rating agency 1 Ratingagentur 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Article 4
Type of publication (narrower categories)
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Article in journal 3 Aufsatz in Zeitschrift 3 Article 1
Language
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English 4
Author
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Stádník, Bohumil 2 Nakagawa, Hidetoshi 1 Takada, Hideyuki 1 Tuzcuoglu, Kerem 1
Published in...
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Journal of financial engineering 1 Verslas : teorija ir praktika : Vilniaus Gedimino Technikos Universiteto mokslo žurnalas 1 Verslas: Teorija ir praktika / Business: Theory and Practice 1
Source
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ECONIS (ZBW) 3 EconStor 1
Showing 1 - 4 of 4
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Composite likelihood estimation of an autoregressive panel ordered probit model with random effects
Tuzcuoglu, Kerem - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 2, pp. 593-607
Persistent link: https://www.econbiz.de/10014448376
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Behaviour of bond's embedded option with regard to credit rating
Stádník, Bohumil - In: Verslas: Teorija ir praktika / Business: Theory and Practice 19 (2018), pp. 261-270
In this financial engineering research, we study the behaviour of an option premium of a call/put option which is embedded in a typical fixed coupon bond with finite maturity. The contribution of the research is the conclusion about the dynamics of premium changes; represented by direction and...
Persistent link: https://www.econbiz.de/10012703514
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Cover Image
Behaviour of bond's embedded option with regard to credit rating
Stádník, Bohumil - In: Verslas : teorija ir praktika : Vilniaus Gedimino … 19 (2018), pp. 261-270
In this financial engineering research, we study the behaviour of an option premium of a call/put option which is embedded in a typical fixed coupon bond with finite maturity. The contribution of the research is the conclusion about the dynamics of premium changes; represented by direction and...
Persistent link: https://www.econbiz.de/10012019232
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Numerical analysis of rating transition matrix depending on latent macro factor via nonlinear particle filter method
Nakagawa, Hidetoshi; Takada, Hideyuki - In: Journal of financial engineering 1 (2014) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10010508007
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