Stability of ratings transitions

摘要: The distribution of ratings changes plays a crucial role in many credit risk models. As is well known, these distributions vary across time and different issuer types. Ignoring such dependencies may lead to inaccurate assessments risk. In this paper, quantification provided the dependence transition probabilities on industry domicile obligor, stage business cycle. incremental impact factors identified using ordered probit This approach gives clearer picture (than obtained by comparing matrices estimated from sub-samples) which conditioning are important.