Bhaumik, Sumon; Landon-Lane, John S. - William Davidson Institute, University of Michigan - 2007
In this paper we describe a method to decompose a well-known measure of debt ratings mobility into it’s directional … understand the underlying characteristics of debt ratings migration and, for the case of the data set used, that the standard … Markov chain model is not homogeneous in either the time or cross-sectional dimensions. We find that the directional …