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Journal of Business & Economic Statistics Volume 32, 2014 - Issue 3
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Original Articles

Market-Based Credit Ratings

Drew D. CrealUniversity of Chicago Booth School of Business, Chicago, IL60637 ([email protected])
,
Robert B. GramacyUniversity of Chicago Booth School of Business, Chicago, IL60637 ([email protected])
&
Ruey S. TsayUniversity of Chicago Booth School of Business, Chicago, IL60637 ([email protected])
Pages 430-444 | Received 01 Jan 2014, Published online: 28 Jul 2014

Citations (16)

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Read on this site (2)

André Lucas, Julia Schaumburg & Bernd Schwaab. (2019) Bank Business Models at Zero Interest Rates. Journal of Business & Economic Statistics 37:3, pages 542-555.
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Dong Hwan Oh & Andrew J. Patton. (2018) Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads. Journal of Business & Economic Statistics 36:2, pages 181-195.
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Articles from other publishers (14)

Iftekhar Hasan, Jianfu Shen, Gaiyan Zhang & Winnie P. H. Poon. (2023) Market‐implied ratings and their divergence from credit ratings. Journal of Financial Research 46:2, pages 251-289.
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Kimberly Cornaggia, John Hund & Giang Nguyen. (2022) Investor attention and municipal bond returns. Journal of Financial Markets 60, pages 100738.
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Igor Custodio João, André Lucas, Julia Schaumburg & Bernd Schwaab. (2022) Dynamic clustering of multivariate panel data. Journal of Econometrics, pages 105281.
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Shuwen Gai, Xuting Mao & Mingxi Liu. (2022) The gap between credit rating theory and practice: evidence from bond issuers in China. Procedia Computer Science 199, pages 962-968.
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Georgios Sermpinis, Serafeim Tsoukas & Ping Zhang. (2018) Modelling market implied ratings using LASSO variable selection techniques. Journal of Empirical Finance 48, pages 19-35.
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Ahn Kyung Hee, Jong Won Park & 박래수. (2018) The Effect of Credit Rating Changes on Debt Financing: Focusing on the Difference between BIR and AR. Korean Journal of Financial Engineering 17:2, pages 23-52.
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Mario Cerrato, John Crosby, Minjoo Kim & Yang Zhao. (2017) The joint credit risk of UK global-systemically important banks. Journal of Futures Markets 37:10, pages 964-988.
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Jeroen Jansen & Frank J Fabozzi. (2017) CDS Implied Credit Ratings. The Journal of Fixed Income 26:4, pages 25-52.
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Rutger-Jan Lange, André Lucas & Arjen Siegmann. 2017. Systemic Risk Tomography. Systemic Risk Tomography 129 150 .
R. S. Tsay & H. Zhu. 2017. Applied Quantitative Finance. Applied Quantitative Finance 113 128 .
Drew D. Creal & Ruey S. Tsay. (2015) High dimensional dynamic stochastic copula models. Journal of Econometrics 189:2, pages 335-345.
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Jinho Choi, Alexander den Ruijter, Kimi Xu Jiang & Edmund Moshammer. (2022) Japan’s Sovereign Rating in the Post-pandemic Era. SSRN Electronic Journal.
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Rutger-Jan Lange & Arjen Siegmann. (2016) Score-Driven Systemic Risk Signaling for European Sovereign Bond Yields and CDS Spreads. SSRN Electronic Journal.
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Stefano Marmi, Aldo Nassigh & Daniele Regoli. (2014) Sovereign Ratings Implied by Coupled CDS-Bond Market Data. SSRN Electronic Journal.
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