We provide maximum likelihood estimators of term structures of conditional probabilities of
corporate default, incorporating the dynamics of firm-specific and macroeconomic …

In this study, we examine the predictive performance of a wide class of binary classifiers
using a large sample of international credit ratings changes from the period 1983–2013 …

Models of financial distress rely primarily on accounting-based information (eg [Altman, E.,
1968. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy …

This study reviews the funding status of state‐administered pension plans and their impact
on state credit quality. As the fund ratio (actuarial assets/actuarial accrued liability) of state …

This paper analyses lead–lag relationships in sovereign ratings across five agencies, and
finds evidence of interdependence in rating actions. Upgrade (downgrade) probabilities are …

This paper analyses the effects of sovereign rating actions on the credit ratings of banks in
emerging markets, using a sample from three global rating agencies across 54 countries for …

The role and performance of credit-rating agencies are currently under debate. Several
surveys conducted in the United States reveal that most investors believe rating agencies …

This paper assesses biases in credit ratings and lead–lag relationships for near-to-default
issuers with multiple ratings by Moody's and S&P. Based on defaults from 1997 to 2004, we …

This paper aims to evaluate the likelihood of corporations' defaults based on data of US
public non-financial firms over the period January 1980–June 2019 by incorporating both …

I study the information content of bond ratings changes using daily corporate bond data from
TRACE. Abnormal bond returns over a two-day event window that includes the downgrade …