Are credit ratings procyclical? / Jeffery D'Amato and Craig H. Furfine

• Main Author: D'Amato, Jeffery
• Format: Thesis Book
• Published: Basel : Bank for International Settlements. Monetary and Economic Dept., 2003
• Series: BIS working papers,
• Subjects: RIESGO DEL CREDITO
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Table of Contents:

• Bibliografía: p.15
• TABLA DE CONTENIDO: Introduction
• 1. Literature review
• 2. Data
• 3. Ordered probit model
• 4. Results for data set 1: balance sheet dating
• 5. Results for data set 2: initial ratinfs and rating changes
• 6. Summary
• Appendix: computation of likelihood function for data set 2
• Graphs and tables.