Directional mobility of debt ratings

Sumon Kumar Bhaumik, John S. Landon-Lane*

*Corresponding author for this work

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)67-78
Number of pages12
JournalBorsa Istanbul Review
Volume13
Issue number4
Early online date7 Nov 2013
DOIs
Publication statusPublished - Dec 2013

Fingerprint

Rating
Debt
Decomposition
Markov chain model
Rating migration
Sovereign debt

Bibliographical note

Copyright © 2013, Borsa _Istanbul Anonim Şirketi. Production and hosting by Elsevier B.V. Open access under CC BY-NC-ND license.

Keywords

  • mobility
  • ratings migration
  • sovereign debt

Cite this

Bhaumik, Sumon Kumar ; Landon-Lane, John S. / Directional mobility of debt ratings. In: Borsa Istanbul Review. 2013 ; Vol. 13, No. 4. pp. 67-78.
@article{44af5bff91134ede9e05954f72417115,
title = "Directional mobility of debt ratings",
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.",
keywords = "mobility, ratings migration, sovereign debt",
author = "Bhaumik, {Sumon Kumar} and Landon-Lane, {John S.}",
note = "Copyright {\circledC} 2013, Borsa _Istanbul Anonim Şirketi. Production and hosting by Elsevier B.V. Open access under CC BY-NC-ND license.",
year = "2013",
month = "12",
doi = "10.1016/j.bir.2013.10.002",
language = "English",
volume = "13",
pages = "67--78",
journal = "Borsa Istanbul Review",
issn = "2214-8450",
publisher = "Borsa Istanbul Anonim Sirketi",
number = "4",

}

Bhaumik, SK & Landon-Lane, JS 2013, 'Directional mobility of debt ratings', Borsa Istanbul Review, vol. 13, no. 4, pp. 67-78. https://doi.org/10.1016/j.bir.2013.10.002

Directional mobility of debt ratings. / Bhaumik, Sumon Kumar; Landon-Lane, John S.

In: Borsa Istanbul Review, Vol. 13, No. 4, 12.2013, p. 67-78.

Research output: Contribution to journalArticle

TY - JOUR

T1 - Directional mobility of debt ratings

AU - Bhaumik, Sumon Kumar

AU - Landon-Lane, John S.

N1 - Copyright © 2013, Borsa _Istanbul Anonim Şirketi. Production and hosting by Elsevier B.V. Open access under CC BY-NC-ND license.

PY - 2013/12

Y1 - 2013/12

N2 - 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.

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.

KW - mobility

KW - ratings migration

KW - sovereign debt

UR - http://www.scopus.com/inward/record.url?scp=84954062746&partnerID=8YFLogxK

U2 - 10.1016/j.bir.2013.10.002

DO - 10.1016/j.bir.2013.10.002

M3 - Article

AN - SCOPUS:84954062746

VL - 13

SP - 67

EP - 78

JO - Borsa Istanbul Review

JF - Borsa Istanbul Review

SN - 2214-8450

IS - 4

ER -