This paper investigates the finite-sample behaviour of sovereign credit migration estimators and analyzes the properties of the rating process. Through bootstrap simulations, we compare a discrete multinomial estimator and two continuous hazard rate methods which differ in that one neglects...

This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...

This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...