Hello, Login
X

Forgot Password?

Join Us

to start. Not a member? Join Today!
LinkedIn Join us on
Investment Management Information
“Bridging the theory & practice of investment management”
Email
Advanced Search →
  • Home
  • Journal
    • About
    • Subscribe to the Journal
      • Subscriptions
      • Library Subscriptions
    • Harry M. Markowitz Award
    • Submit a Paper
      • Article Guidelines
      • Practitioner’s Guidelines
    • Reprints & Permissions
  • Conferences
    • JOIM Conference Events
    • About
    • Membership
    • Board Members
  • Library Access
  • Contact
  • Help

0 comments / 2014-07-09 / the JOIM / Archives, Articles, Special Issues

Non-Parametric Analysis of Rating Transition and Default Data

Peter Fledelius, David Lando and Jens Perch Nielsen

Volume 2, Number 2, Second Quarter 2004

Non-parametric analysis of rating transition intensities is a powerful way of visualizing such effects and is therefore useful both for quickly understanding the behavior of a rating system and for exploring data before setting up a full statistical model. In this paper we illustrate the use of non-parametric and smoothing methods for analyzing rating transitions by showing how the time spent in a particular rating class and the direction of the move into this class influence transition intensities away from the class.

0 comments… add one
Cancel reply

Leave a Comment

Next Article: Correlated Default Processes: A Criterion-Based Copula Approach

Previous Article: Structural Versus Reduced Form Models: A New Information Based Perspective

JOIM

    Library Access

    Subscribe to the Journal
    Submit a Paper
    Harry M. Markowitz Award
    Editorial Board
    Upcoming Conferences

    Edit Profile

Recent Comments

    JOIM

      About the JOIM
    • Library Access
    • Subscribe to the Journal
    • Submit a Paper
    • Editorial Board
    • Harry M. Markowitz Award
    • Licensing Rights and Advertising
    • Terms and Conditions

    JOIM Conference Series

    • About
    • Upcoming Conferences
    • Membership
    • Board Members
    • Terms & Conditions
    Speaker Reimbursement Policy

    Contact

    Journal Of Investment Management (JOIM)
    3658 Mt. Diablo Blvd., Suite 200
    Lafayette, CA 94549
    www.joim.com

    customerservice @ joim.com
    (925) 299-7800

    Copyright 2019 — Journal Of Investment Management design by SEO Web Designers