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Information theoretic generator estimation with an application to ratings process migration

Stokes, Jeffrey R. - In: Journal of risk management in financial institutions 4 (2010/11) 1, pp. 29-45

Persistent link: https://www.econbiz.de/10008905800

A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration

Stokes, Jeffrey R. - In: Review of quantitative finance and accounting 61 (2023) 3, pp. 855-878

Persistent link: https://www.econbiz.de/10014342115

Credit risk rating migration and unobserved borrower heterogeneity

Stokes, Jeffrey R.; Dressler, Jonathan B.; … - In: Agricultural Finance Review 68 (2008) September, pp. 237-253

Some past studies of credit risk ratings migration have found trend reversals and evidence that the data-generating process is nonstationary. Using a sample of Farm Credit System mortgages, we find no compelling statistical evidence of either phenomenon. We do find evidence that our sample of...

Persistent link: https://www.econbiz.de/10004979846

Credit risk rating migration and unobserved borrower heterogeneity

Stokes, Jeffrey R.; Dressler, Jonathan B.; … - In: Agricultural finance review 68 (2008) 2, pp. 237-253

Persistent link: https://www.econbiz.de/10003797266

Survival analysis and mortgage termination at AgChoice ACA

Dressler, Jonathan B.; Stokes, Jeffrey R. - In: Agricultural finance review 70 (2010) 1, pp. 21-36

Persistent link: https://www.econbiz.de/10003983630

Quantifying the impact of Farmer Mac prepayment penalties

Brinch, Brian M.; Stokes, Jeffrey R. - In: Agricultural finance review 61 (2001) 2, pp. 141-166

Persistent link: https://www.econbiz.de/10001767894

Estimating deliquency migration and the probability of default from aggregate data

Stokes, Jeffrey R.; Gloy, Brent A. - In: Agricultural finance review 67 (2007) 1, pp. 75-85

Persistent link: https://www.econbiz.de/10003495735

Commercial real estate finance and the lending cap rate

Stokes, Jeffrey R.; Cox, Arthur T. - In: Journal of property investment & finance 41 (2023) 1, pp. 2-10

Persistent link: https://www.econbiz.de/10014232077