Altman E., Kao D. Corporate Bond Rating Drift: An Examination of Credit Quality Rating Changes Over Time

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Altman E., Kao D. Corporate Bond Rating Drift: An Examination of Credit Quality Rating Changes Over Time

The Research Foundation of the Institute of Chartered Financial Analysts, 1991. — 77 p.

Empirical Analysis of Bond Rating Drift.
Modeling Bond Rating Drift.
Rating Changes and Bondholders’ Wealth.
Practical Implications and Future Research.
Bond Rating Agencies and Systems.
Rating Drift Tables, 1970-79 and 1980-89.
Parameter Estimation for an MS Model.