In this paper we explain how to use the rating histories provided by theinternal scoring systems of banks and by rating agencies in order to predictthe future risk of a given borrower or of a set of borrowers. The method isdeveloped following the steps suggested by the Basle Committee. To...

This paper deals with efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factor. The specification accounts for both micro- and macro-dynamics, induced by the lagged individual observation and the common stochastic factor, respectively. For large...

We consider an homogeneous class of assets, whose returns are driven by an unobservablefactor. We derive approximated prediction and pricing formulas for the future factorvalues and their proxies, when the size n of the class is large. Up to order 1=n, these approximationsinvolve solely...

In this article we explain how to use rating histories provided by the internal scoring systems of banks and rating agencies in order to predict the future risk of a set of borrowers. The method is developed following the steps suggested by the Basle Committee. To introduce both migration...

The aim of this paper is to extend the results of Jarrow, Yu (2001) on the spread term structures of corporate bonds. We first consider different characterisations of these term structures, when the available information corresponds to the default histories of the firms. The approach is then...

We consider a set of Markovian processes with Stochastic transition matrices. This specification extends the standard stochastic intensity model introduced by Cox in the two state case. Such a model is appropriate for the joint analysis of rating histories of several corporates, including the...

The aim of this paper is to explain why cross-sectional estimated migration correlations displayed in the academic and professional literature can be either not consistent, or inefficient, and to discuss alternative approaches. The analysis relies on a model with stochastic migration in which...