{"id":"https://openalex.org/W2010976896","doi":"https://doi.org/10.1016/j.jbankfin.2005.04.011","title":"Implied migration rates from credit barrier models","display_name":"Implied migration rates from credit barrier models","publication_year":2005,"publication_date":"2005-08-04","ids":{"openalex":"https://openalex.org/W2010976896","doi":"https://doi.org/10.1016/j.jbankfin.2005.04.011","mag":"2010976896"},"language":"en","primary_location":{"id":"doi:10.1016/j.jbankfin.2005.04.011","doi":"https://doi.org/10.1016/j.jbankfin.2005.04.011","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2005.04.011","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking &amp; Finance","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5066637143","display_name":"Claudio Albanese","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I47508984","display_name":"Imperial College London","ror":"https://ror.org/041kmwe10","country_code":"GB","type":"education","lineage":["https://openalex.org/I47508984"]}],"countries":["GB"],"is_corresponding":true,"raw_author_name":"Claudio Albanese","raw_affiliation_strings":["Department of Mathematics, 180 Queen\u2019s Gate, Imperial College London, SW7 2AZ London, UK"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, 180 Queen\u2019s Gate, Imperial College London, SW7 2AZ London, UK","institution_ids":["https://openalex.org/I47508984"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5014812379","display_name":"Oliver X. Chen","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I165932596","display_name":"National University of Singapore","ror":"https://ror.org/01tgyzw49","country_code":"SG","type":"education","lineage":["https://openalex.org/I165932596"]}],"countries":["SG"],"is_corresponding":false,"raw_author_name":"Oliver X. Chen","raw_affiliation_strings":["Department of Mathematics and Centre for Financial Engineering, 2 Science Drive 2, National University of Singapore, 117543 Singapore, Singapore"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics and Centre for Financial Engineering, 2 Science Drive 2, National University of Singapore, 117543 Singapore, Singapore","institution_ids":["https://openalex.org/I165932596"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5066637143"],"corresponding_institution_ids":["https://openalex.org/I47508984"],"apc_list":{"value":3340,"currency":"USD","value_usd":3340},"apc_paid":null,"fwci":8.5392,"has_fulltext":false,"cited_by_count":26,"citation_normalized_percentile":{"value":0.97206557,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"30","issue":"2","first_page":"607","last_page":"626"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9678000211715698,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9678000211715698,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.03020000085234642,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11653","display_name":"Financial Distress and Bankruptcy Prediction","score":0.00019999999494757503,"subfield":{"id":"https://openalex.org/subfields/1402","display_name":"Accounting"},"field":{"id":"https://openalex.org/fields/14","display_name":"Business, Management and Accounting"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/credit-migration","display_name":"credit migration","score":0.7710000276565552},{"id":"https://openalex.org/keywords/credit-spreads","display_name":"credit spreads","score":0.7310000061988831},{"id":"https://openalex.org/keywords/credit-derivatives","display_name":"credit derivatives","score":0.703000009059906},{"id":"https://openalex.org/keywords/credit-risk","display_name":"credit risk","score":0.47600001096725464},{"id":"https://openalex.org/keywords/default-risk","display_name":"default risk","score":0.46000000834465027},{"id":"https://openalex.org/keywords/state-dependent-volatility","display_name":"state-dependent volatility","score":0.8790000081062317},{"id":"https://openalex.org/keywords/jumps","display_name":"jumps","score":0.7279999852180481},{"id":"https://openalex.org/keywords/credit-rating-transitions","display_name":"credit rating transitions","score":0.43799999356269836}],"concepts":[{"id":"https://openalex.org/C178350159","wikidata":"https://www.wikidata.org/wiki/Q162714","display_name":"Credit risk","level":2,"score":0.6903939843177795},{"id":"https://openalex.org/C89997419","wikidata":"https://www.wikidata.org/wiki/Q2828882","display_name":"Credit valuation adjustment","level":4,"score":0.608302116394043},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5850911736488342},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5689054131507874},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.5389097332954407},{"id":"https://openalex.org/C44309892","wikidata":"https://www.wikidata.org/wiki/Q691313","display_name":"Credit derivative","level":3,"score":0.5313416719436646},{"id":"https://openalex.org/C90992651","wikidata":"https://www.wikidata.org/wiki/Q933132","display_name":"Credit default swap index","level":5,"score":0.45195382833480835},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.41358864307403564},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.3304824233055115},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.3083869218826294},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.24008247256278992},{"id":"https://openalex.org/C24308983","wikidata":"https://www.wikidata.org/wiki/Q5183781","display_name":"Credit reference","level":3,"score":0.14058539271354675}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.1016/j.jbankfin.2005.04.011","doi":"https://doi.org/10.1016/j.jbankfin.2005.04.011","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.jbankfin.2005.04.011","pdf_url":null,"source":{"id":"https://openalex.org/S2876017","display_name":"Journal of Banking & Finance","issn_l":"0378-4266","issn":["0378-4266","1872-6372"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a-star","anvur-class-a","anvur-scientific","cwts-core","fnege-1","jufo-2","norway-2","poland-140","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Journal of Banking &amp; Finance","raw_type":"journal-article"},{"id":"pmh:oai:scholarbank.nus.edu.sg:10635/103402","doi":null,"is_oa":false,"landing_page_url":"http://scholarbank.nus.edu.sg/handle/10635/103402","pdf_url":null,"source":{"id":"https://openalex.org/S7407052290","display_name":"National University of Singapore","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Scopus","raw_type":"Article"},{"id":"pmh:oai:RePEc:eee:jbfina:v:30:y:2006:i:2:p:607-626","doi":null,"is_oa":false,"landing_page_url":"http://www.sciencedirect.com/science/article/pii/S0378-4266(05)00085-3","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":null,"sustainable_development_goals":[],"sustainable_development_goals_aurora":[{"display_name":"Reduced inequalities","score":0.8299999833106995,"id":"https://metadata.un.org/sdg/10"}],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":29,"referenced_works":["https://openalex.org/W39607795","https://openalex.org/W95401850","https://openalex.org/W143140593","https://openalex.org/W604181985","https://openalex.org/W1796261670","https://openalex.org/W1972594402","https://openalex.org/W1980519218","https://openalex.org/W2011886674","https://openalex.org/W2077791698","https://openalex.org/W2082317778","https://openalex.org/W2091205586","https://openalex.org/W2100190417","https://openalex.org/W2105973145","https://openalex.org/W2132072990","https://openalex.org/W2139245512","https://openalex.org/W2148474709","https://openalex.org/W2169724114","https://openalex.org/W3023478198","https://openalex.org/W3047790459","https://openalex.org/W3091791300","https://openalex.org/W3121877964","https://openalex.org/W3125196838","https://openalex.org/W3125744792","https://openalex.org/W3126074134","https://openalex.org/W3215823624","https://openalex.org/W4255287478","https://openalex.org/W4285719527","https://openalex.org/W6601604385","https://openalex.org/W6885038019"],"related_works":["https://openalex.org/W7096668086","https://openalex.org/W7098018032","https://openalex.org/W1828778804","https://openalex.org/W3123888411","https://openalex.org/W2010696614","https://openalex.org/W2144885201","https://openalex.org/W7137278126","https://openalex.org/W1861089841","https://openalex.org/W7095078255","https://openalex.org/W2108793399"],"abstract_inverted_index":null,"counts_by_year":[{"year":2024,"cited_by_count":3},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
