NON-PARAMETRIC ANALYSIS OF RATING TRANSITION AND DEFAULT DATA

Peter Fledelius, David Lando, and Jens Perch Nielsen

We demonstrate the use of non-parametric intensity estimation—including construction of pointwise confidence sets—for analyzing rating transition data. We find that transition intensities away from the class studied here for illustration strongly depend on the direction of the previous move but that this dependence vanishes after 2–3 years.