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Multi-period credit default prediction with time-varying covariates

Orth, Walter - 2011 - First draft: March 17, 2011

In credit default prediction models, the need to deal with time-varying covariates often arises. For instance, in the … context of corporate default prediction a typical approach is to estimate a hazard model by regressing the hazard rate on time …-period predictions ; hazard models ; panel data ; out-of-sample tests …

Persistent link: https://www.econbiz.de/10008939079

The economics of rating watchlists : evidence from rating changes

Hirsch, Christian (contributor); … - 2007

Generally, information provision and certification have been identified as the major economic functions of rating agencies. This paper analyzes whether the watchlistʺ (rating review) Instrument has extended the agencies' role towards a monitoring position, as proposed by Boot, Milbourn, and...

Persistent link: https://www.econbiz.de/10003636337

The economics of rating watchlists : evidence from rating changes

Hirsch, Christian (contributor); … - 2007

Generally, information provision and certification have been identified as the major economic functions of rating agencies. This paper analyzes whether the "watchlist" (rating review) instrument has extended the agencies' role towards a monitoring position, as proposed by Boot, Milbourn, and...

Persistent link: https://www.econbiz.de/10003750316

The Impact of the Contractual Use of Ratings on the Rating Process - Evidence from Rating Agency Adjustments

Kraft, Pepa - 2010

I study the use of credit ratings in debt contracts. When debt contracts use credit ratings rather than accounting ratios to enforce restrictions on borrowers, there is likely to be increased pressure on rating agencies to cater to borrower incentives. I investigate whether the explicit use of...

Persistent link: https://www.econbiz.de/10013146797

Empirical research on corporate credit-ratings : a literature review

Matthies, Alexander B. - 2013

We report on the current state and important older findings of empirical studies on corporate credit ratings and their relationship to ratings of other entities. Specifically, we consider the results of three lines of research: The correlation of credit ratings and corporate default, the...

Persistent link: https://www.econbiz.de/10009681828