Please use this identifier to cite or link to this item: http://buratest.brunel.ac.uk/handle/2438/3520
Title: Directional mobility of debt ratings
Authors: Bhaumik, SK
Landon-Lane, JS
Keywords: Ratings migration; Mobility; Sovereign debt
Issue Date: 2007
Publisher: Brunel University
Citation: Economics and Finance Discussion Papers, Brunel University, 07-22.
Abstract: In this paper we describe a method to decompose a well-known measure of debt ratings mobility into it’s directional components. We show, using sovereign debt ratings as an example, that this directional decomposition allows us to better 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 decomposition also allows us to sign the change in quality of debt over time and across sub-groups of the population.
URI: http://bura.brunel.ac.uk/handle/2438/3520
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

Files in This Item:
File Description SizeFormat 
0722.pdf232.9 kBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.