Directional mobility of debt ratings

Sumon Kumar Bhaumik; John S. Landon-Lane

doi:10.1016/j.bir.2013.10.002

Directional mobility of debt ratings

Sumon Kumar Bhaumik, John S. Landon-Lane^*

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	67-78
Number of pages	12
Journal	Borsa Istanbul Review
Volume	13
Issue number	4
Early online date	7 Nov 2013
DOIs	https://doi.org/10.1016/j.bir.2013.10.002
Publication status	Published - Dec 2013

Bibliographical note

Keywords

mobility
ratings migration
sovereign debt

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10.1016/j.bir.2013.10.002

Directional mobility of debt ratings
Copyright © 2013, Borsa _Istanbul Anonim Şirketi. Production and hosting by Elsevier B.V. Open access under CC BY-NC-ND license.
Final published version, 319 KBLicence: CC BY-NC-ND 3.0

Cite this

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AB - 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.

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Directional mobility of debt ratings

Abstract

Bibliographical note

Keywords

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