The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by … major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and … Moody’s publicly available rating histories to construct confidence intervals for the level of probability of default to be …

The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by … major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and … Moody’s publicly available rating histories to construct confidence intervals for the level of probability of default to be …

The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by … major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor’s and … Moody’s publicly available rating histories to construct confidence intervals for the level of probability of default to be …

The aims of this paper are twofold: first, we attempt to express the threshold of a single “A” rating as issued by … major international rating agencies in terms of annualised probabilities of default. We use data from Standard & Poor's and … Moody's publicly available rating histories to construct confidence intervals for the level of probability of default to be …

We present a statistical test for the long-term calibration in rating systems that can deal with overlapping time … the European System. In accordance with regulation, rating systems are to be calibrated and validated with respect to the …

Markov Chains (MMC) model to account for stochastic business cycle effects in credit rating migration risk. The MMC approach … is more efficient and provides superior out-of-sample credit rating migration risk predictions at long horizons than a …

A rater is paid by a seller, observes a signal about the seller's product, and issues a public cheap-talk rating for … coarse rating for signals below a threshold and precise ratings for signals above the threshold …

This study assesses the credit rating migration risk and interconnectedness among bank-to-listed firms and insurer … centrality. The study then undertakes a stress test using a historical economic scenario pertaining to a credit rating migration …