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dc.contributor.authorLouis, Philippe
dc.contributor.authorVan Laere, Elisabeth
dc.contributor.authorBaesens, Bart
dc.date.accessioned2017-12-02T14:52:13Z
dc.date.available2017-12-02T14:52:13Z
dc.date.issued2013
dc.identifier.doi10.1016/j.econlet.2013.02.033
dc.identifier.urihttp://hdl.handle.net/20.500.12127/4679
dc.description.abstractIn the aftermath of the financial crisis, this study investigates which underlying determinants cause bank rating transitions. We develop survival analysis models to explain credit transition hazards using macroeconomic factors and the rating history. We find that there exists a significant dependence of rating upgrade or rating downgrade transition hazards on rating-specific covariates and macro-economic covariates. Our results confirm the momentum effect, meaning that a financial institution that has been recently upgraded/downgraded has a higher chance of being upgraded/downgraded again. The predictive performance of the developed models turns out to be satisfactory.
dc.language.isoen
dc.subjectAccounting & Finance
dc.subjectRating Transitions
dc.subjectSurvival Analysis
dc.subjectRating-specific and Macro-economic Covariates
dc.subjectPrediction Accuracy
dc.titleUnderstanding and predicting bank rating transitions using optimal survival analysis models
dc.identifier.journalEconomics Letters
dc.source.volume119
dc.source.issue3
dc.source.beginpage280
dc.source.endpage283
vlerick.knowledgedomainAccounting & Finance
vlerick.typearticleJournal article with impact factor
vlerick.vlerickdepartmentA&F
dc.identifier.vperid94350
dc.identifier.vperid163065
dc.identifier.vperid67811
dc.identifier.vpubid5570


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