# Credit Risk Migration and Economic Cycles

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## Abstract

**:**

## 1. Introduction

## 2. Markov Chains and the Movers Stayers Model

_{ij}is the Kronoecker’a Delta defined before.

- ${q}_{ij}\ge 0\forall i\ne j$ and ${q}_{ii}<0$;
- $\sum}_{j=1}^{k}{q}_{ij}=0\forall i$;
- M(t) = exp(tQ) for all t > 0, where exp(.) stands for the exponential matrix function (Golub and Van Loan 1996).

- Embeddability: there is no solution $\widehat{Q}$ which also satisfies the aforementioned properties of a generating matrix. This drawback arises because not every discrete time Markov chain can be realized as a discretized continuous-time chain (Israel et al. 2001). Hence, it may be impossible from a one-year transition matrix (for example, if it contains zeros in some of the non-default rows) to structure a continuous-time chain which has the one-year transition matrix as its “marginal”.
- Aliasing: more than one continuous time chain exists, from which the discrete process arises. This drawback is caused by the fact that the equation M = exp(Q) may have different solutions.

- it randomly draws ${Z}_{l}$ from a binomial distribution depending on ${S}_{l-1},{M}_{l-1}$;
- it updates ${S}_{l-1},{M}_{l-1}$ to ${S}_{l},{M}_{l}$ randomly drawing from a probability density function which is a sort of multivariate Dirichlet distribution, with parameters depending on ${Z}_{l}$ and on the observed starting distribution and the total observed number of transition from i to j, for every couple i and j.

## 3. Data Description

## 4. Results

#### 4.1. Estimated Parameters

#### 4.2. The Estimated Annual Transition Matrix

#### 4.3. Comparison between the Markov Chain and Movers Stayers Models

_{t}represents a sort of distance between the observed and the estimated distributions for every year or, equivalently, the percentage error caused by using the estimated distribution at time t (${\widehat{d}}_{t}$) instead the observed distribution at the same time (${d}_{t}^{obs}$).

#### 4.4. The Equilibrium Distribution

#### 4.5. Time Persistence

#### 4.6. Mobility Measurements

## 5. Conclusions

## Author Contributions

## Funding

## Conflicts of Interest

## References

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1 | In Fei et al. (2012) data are derived from the S&P CreditPro 7.7 database. In Dietsch and Petey (2004), relating to the empirical studies on asset correlation, data were collected from the internal rating system of Coface for France and Creditform for Germany. Similarly, in Bandyopadhyay et al. (2007), results were based on CRISIL’s (a lending credit rating agency in India) annual ratings of long-term bonds. For more details on the process we applied to compute PD, see (Gabbi and Vozzella 2013). |

**Figure 1.**Upgrading probability by time. The vertical axis shows the probability, the horizontal axis shows time in years. The five curves compare the upgrade path probability to a better rating notch.

**Table 1.**Companies’ distribution. Absolute and relative values by year (1999–2010) and by rating classes. Rating classes range from A (lowest probability of default, PDs) to F (highest PDs). To maintain the total number of firms, equal each year we cumulate defaults which appear to increase over time. By “default” we mean all the firms in legal bankruptcy.

1999 | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | ||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|

A | absolute | 19,265 | 17,950 | 12,433 | 13,136 | 13,194 | 13,298 | 13,367 | 13,136 | 13,565 | 16,860 | 17,297 | 16,892 |

relative | 43.6% | 40.6% | 28.1% | 29.7% | 29.9% | 30.1% | 30.2% | 29.7% | 30.7% | 38.2% | 39.1% | 38.2% | |

B | absolute | 7804 | 7906 | 9457 | 9346 | 9275 | 9208 | 9152 | 8940 | 8709 | 8581 | 7954 | 8044 |

relative | 17.7% | 17.9% | 21.4% | 21.1% | 21.0% | 20.8% | 20.7% | 20.2% | 19.7% | 19.4% | 18.0% | 18.2% | |

C | absolute | 8313 | 8715 | 10679 | 9930 | 9571 | 9508 | 9490 | 9500 | 9212 | 7431 | 6896 | 6984 |

relative | 18.8% | 19.7% | 24.2% | 22.5% | 21.7% | 21.5% | 21.5% | 21.5% | 20.8% | 16.8% | 15.6% | 15.8% | |

D | absolute | 7268 | 7551 | 9188 | 8579 | 8471 | 8129 | 7764 | 7804 | 7373 | 5482 | 5506 | 5601 |

relative | 16.4% | 17.1% | 20.8% | 19.4% | 19.2% | 18.4% | 17.6% | 17.7% | 16.7% | 12.4% | 12.5% | 12.7% | |

E | absolute | 975 | 966 | 1062 | 1168 | 1135 | 973 | 950 | 956 | 1012 | 965 | 1220 | 1186 |

relative | 2.2% | 2.2% | 2.4% | 2.6% | 2.6% | 2.2% | 2.1% | 2.2% | 2.3% | 2.2% | 2.8% | 2.7% | |

F | absolute | 567 | 468 | 147 | 270 | 290 | 250 | 263 | 281 | 201 | 317 | 303 | 414 |

relative | 1.3% | 1.1% | 0.3% | 0.6% | 0.7% | 0.6% | 0.6% | 0.6% | 0.5% | 0.7% | 0.7% | 0.9% | |

Default | absolute | 0 | 636 | 1226 | 1763 | 2256 | 2826 | 3206 | 3575 | 4120 | 4556 | 5016 | 5071 |

relative | 0.0% | 1.4% | 2.8% | 4.0% | 5.1% | 6.4% | 7.3% | 8.1% | 9.3% | 10.3% | 11.4% | 11.5% | |

TOT | 44,192 | 44,192 | 44,192 | 44,192 | 44,192 | 44,192 | 44,192 | 44,192 | 44,192 | 44,192 | 44,192 | 44,192 |

**Table 2.**Structure of the firms’ states evolution (relative values). Panel 1 shows the pattern of failed firms over time. Panel 2 contains the incidence of companies moving from one notch to another. Panel 3 shows the incidence of stayers, that is companies whose rating has never changed over the 11 years.

Year 1 | Year 2 | Year 3 | Year 4 | Year 5 | Year 6 | Year 7 | Year 8 | Year 9 | Year 10 | Year 11 | |
---|---|---|---|---|---|---|---|---|---|---|---|

Panel 1: Failed firms over time by rating class | |||||||||||

A | 0.0055 | 0.0045 | 0.0020 | 0.0013 | 0.0015 | 0.0011 | 0.0004 | 0.0014 | 0.0010 | 0.0008 | 0.0002 |

B | 0.0083 | 0.0072 | 0.0027 | 0.0031 | 0.0049 | 0.0025 | 0.0027 | 0.0044 | 0.0032 | 0.0044 | 0.0005 |

C | 0.0123 | 0.0114 | 0.0124 | 0.0088 | 0.0101 | 0.0074 | 0.0060 | 0.0107 | 0.0100 | 0.0100 | 0.0013 |

D | 0.0359 | 0.0335 | 0.0290 | 0.0277 | 0.0290 | 0.0201 | 0.0222 | 0.0237 | 0.0308 | 0.0275 | 0.0047 |

E | 0.0615 | 0.0621 | 0.0593 | 0.0634 | 0.0793 | 0.0586 | 0.0674 | 0.0868 | 0.0445 | 0.0736 | 0.0082 |

F | 0.0741 | 0.0855 | 0.1701 | 0.1778 | 0.2483 | 0.2120 | 0.1711 | 0.4199 | 0.1493 | 0.3565 | 0.0099 |

Panel 2: Firms leaving their states (up and downgrading) | |||||||||||

A | 0.2309 | 0.5871 | 0.1226 | 0.1411 | 0.1217 | 0.1186 | 0.1282 | 0.0986 | 0.0616 | 0.0861 | 0.1024 |

B | 0.4231 | 0.3368 | 0.3956 | 0.3808 | 0.3556 | 0.3502 | 0.3596 | 0.3656 | 0.4881 | 0.4192 | 0.3306 |

C | 0.3920 | 0.2997 | 0.4360 | 0.4037 | 0.3644 | 0.3552 | 0.3399 | 0.3669 | 0.6303 | 0.4427 | 0.3475 |

D | 0.3361 | 0.2512 | 0.3537 | 0.3146 | 0.3147 | 0.3105 | 0.2727 | 0.3134 | 0.6240 | 0.3320 | 0.2933 |

E | 0.6190 | 0.5169 | 0.5394 | 0.6352 | 0.7657 | 0.6137 | 0.5554 | 0.5247 | 0.6363 | 0.4369 | 0.5919 |

F | 0.9573 | 2.8299 | 0.3667 | 0.6724 | 0.8200 | 0.5817 | 0.5409 | 1.1045 | 0.3785 | 0.7690 | 0.4251 |

Panel 3: Firms never moving from their starting state (“potential stayers”) | |||||||||||

A | B | C | D | E | F | ||||||

0.3009 | 0.0160 | 0.0206 | 0.0527 | 0.0308 | 0.0000 |

**Table 3.**Estimated generating matrix for the Markov Chain (MC) model (panel 1) and estimated generating matrix and probability to be a ‘Stayer’ for the Mover-Stayer (MS) model (panel 2). Panel 1 shows the estimated generating matrix for the Markov Chain model. Panel 2 shows the estimated generating matrix and the probability to be a ‘Stayer’ according to the Movers-Stayers model.

Panel 1: Estimated generating matrix for the MC model | |||||||

A | B | C | D | E | F | Default | |

A | −0.1853 | 0.1376 | 0.0195 | 0.0213 | 0.0022 | 0.0037 | 0.0010 |

Se | 0.0012 | 0.0012 | 0.0007 | 0.0005 | 0.0002 | 0.0002 | 0.0001 |

B | 0.2532 | −0.5433 | 0.2776 | 0.0000 | 0.0063 | 0.0031 | 0.0030 |

Se | 0.0020 | 0.0031 | 0.0024 | 0.0000 | 0.0005 | 0.0004 | 0.0003 |

C | 0.0081 | 0.2934 | −0.5676 | 0.2461 | 0.0080 | 0.0048 | 0.0072 |

Se | 0.0009 | 0.0025 | 0.0032 | 0.0022 | 0.0008 | 0.0005 | 0.0004 |

D | 0.0182 | 0.0066 | 0.2893 | −0.4541 | 0.1010 | 0.0124 | 0.0267 |

Se | 0.0007 | 0.0012 | 0.0026 | 0.0030 | 0.0018 | 0.0009 | 0.0007 |

E | 0.0276 | 0.0360 | 0.0272 | 0.6555 | −0.9634 | 0.1525 | 0.0646 |

Se | 0.0030 | 0.0038 | 0.0061 | 0.0117 | 0.0129 | 0.0072 | 0.0037 |

F | 0.1762 | 0.0955 | 0.1402 | 0.2190 | 0.3870 | −1.3138 | 0.2959 |

Se | 0.0113 | 0.0111 | 0.0135 | 0.0179 | 0.0211 | 0.0301 | 0.0131 |

Default | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0001 | −0.0002 |

Se | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |

probability of embeddability = 1 | |||||||

number of possible models (aliasing) = 1 | |||||||

Panel 2: Estimated generating matrix and probability to be a Stayers for the MS model | |||||||

A | B | C | D | E | F | Default | |

A | −0.2978 | 0.2223 | 0.0300 | 0.0346 | 0.0034 | 0.0060 | 0.0016 |

Se | 0.0023 | 0.0021 | 0.0011 | 0.0008 | 0.0004 | 0.0004 | 0.0002 |

B | 0.2721 | −0.5661 | 0.2818 | 0.0000 | 0.0065 | 0.0027 | 0.0030 |

Se | 0.0022 | 0.0033 | 0.0024 | 0.0000 | 0.0005 | 0.0004 | 0.0003 |

C | 0.0071 | 0.3015 | −0.5828 | 0.2550 | 0.0072 | 0.0048 | 0.0072 |

Se | 0.0010 | 0.0026 | 0.0033 | 0.0023 | 0.0009 | 0.0005 | 0.0004 |

D | 0.0203 | 0.0047 | 0.3075 | −0.4824 | 0.1093 | 0.0125 | 0.0280 |

Se | 0.0008 | 0.0013 | 0.0029 | 0.0034 | 0.0020 | 0.0009 | 0.0008 |

E | 0.0297 | 0.0372 | 0.0209 | 0.7006 | −1.0165 | 0.1611 | 0.0670 |

Se | 0.0034 | 0.0041 | 0.0063 | 0.0131 | 0.0141 | 0.0075 | 0.0039 |

F | 0.1876 | 0.0855 | 0.1392 | 0.2122 | 0.3971 | −1.3175 | 0.2959 |

Se | 0.0122 | 0.0110 | 0.0138 | 0.0190 | 0.0221 | 0.0305 | 0.0135 |

Default | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0001 | −0.0002 |

Se | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 | 0.0000 |

Stayers | 0.2625 | 0.0115 | 0.0167 | 0.0424 | 0.0318 | 0.0018 | 0.5015 |

Se | 0.0036 | 0.0014 | 0.0016 | 0.0027 | 0.0056 | 0.0019 | 0.2884 |

probability of embeddability = 1 | |||||||

number of possible models (aliasing) = 1 |

Panel 1: Estimated annual transition matrix$\widehat{P}$for the MC | |||||||

A | B | C | D | E | F | Default | |

A | 84.46% | 10.02% | 2.89% | 1.94% | 0.27% | 0.22% | 0.19% |

B | 18.13% | 61.68% | 16.67% | 2.43% | 0.49% | 0.22% | 0.40% |

C | 3.24% | 17.52% | 61.28% | 15.53% | 1.15% | 0.35% | 0.93% |

D | 1.92% | 3.24% | 18.23% | 67.70% | 5.36% | 0.91% | 2.64% |

E | 3.02% | 3.12% | 7.22% | 34.67% | 40.79% | 5.22% | 5.96% |

F | 10.14% | 6.17% | 8.93% | 15.97% | 13.32% | 27.92% | 17.54% |

Default | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 100.00% |

Panel 2: Estimated annual transition matrix$\widehat{P}$for the MS | |||||||

A | B | C | D | E | F | Default | |

A | 82.62% | 11.19% | 3.22% | 2.19% | 0.30% | 0.25% | 0.22% |

B | 18.04% | 61.63% | 16.62% | 2.61% | 0.49% | 0.22% | 0.40% |

C | 3.23% | 17.48% | 61.33% | 15.54% | 1.15% | 0.35% | 0.93% |

D | 1.92% | 3.24% | 18.19% | 67.76% | 5.36% | 0.91% | 2.63% |

E | 3.01% | 3.11% | 7.21% | 34.56% | 40.98% | 5.20% | 5.93% |

F | 10.11% | 6.16% | 8.92% | 15.95% | 13.29% | 28.06% | 17.51% |

Default | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 100.00% |

Panel 1: Estimated distribution for the MC model | |||||||||||

2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 | |

A | 41.14% | 39.32% | 37.91% | 36.77% | 35.82% | 35.01% | 34.31% | 33.68% | 33.11% | 32.58% | 32.10% |

B | 19.24% | 19.97% | 20.27% | 20.35% | 20.30% | 20.18% | 20.02% | 19.83% | 19.64% | 19.43% | 19.23% |

C | 19.00% | 19.26% | 19.45% | 19.57% | 19.61% | 19.59% | 19.53% | 19.43% | 19.30% | 19.16% | 19.01% |

D | 16.30% | 16.21% | 16.15% | 16.11% | 16.07% | 16.03% | 15.97% | 15.90% | 15.82% | 15.72% | 15.61% |

E | 2.37% | 2.38% | 2.36% | 2.34% | 2.33% | 2.32% | 2.31% | 2.30% | 2.29% | 2.27% | 2.26% |

F | 0.82% | 0.70% | 0.67% | 0.65% | 0.65% | 0.64% | 0.64% | 0.63% | 0.63% | 0.62% | 0.62% |

Default | 1.12% | 2.17% | 3.19% | 4.21% | 5.22% | 6.23% | 7.23% | 8.23% | 9.22% | 10.21% | 11.18% |

Panel 2: Estimated distribution for the MS model | |||||||||||

A | 40.32% | 38.17% | 36.68% | 35.58% | 34.74% | 34.06% | 33.50% | 33.01% | 32.59% | 32.21% | 31.85% |

B | 19.73% | 20.54% | 20.77% | 20.72% | 20.55% | 20.32% | 20.07% | 19.80% | 19.54% | 19.27% | 19.01% |

C | 19.14% | 19.52% | 19.79% | 19.92% | 19.94% | 19.88% | 19.77% | 19.62% | 19.44% | 19.25% | 19.04% |

D | 16.45% | 16.46% | 16.46% | 16.46% | 16.44% | 16.40% | 16.33% | 16.24% | 16.12% | 16.00% | 15.85% |

E | 2.39% | 2.40% | 2.39% | 2.38% | 2.37% | 2.36% | 2.35% | 2.34% | 2.32% | 2.30% | 2.28% |

F | 0.84% | 0.72% | 0.68% | 0.67% | 0.66% | 0.65% | 0.65% | 0.64% | 0.63% | 0.63% | 0.62% |

Default | 1.13% | 2.19% | 3.23% | 4.27% | 5.30% | 6.32% | 7.34% | 8.35% | 9.35% | 10.35% | 11.33% |

**Table 6.**Errors evaluated on the estimated frequency distributions among rating notches, provided by Markov Chain (MC) and Movers-Stayers (MS) models.

Transition Matrix Estimation Model | 2000 | 2001 | 2002 | 2003 | 2004 | 2005 | 2006 | 2007 | 2008 | 2009 | 2010 |
---|---|---|---|---|---|---|---|---|---|---|---|

MC | 3.58 | 25.49 | 18.21 | 15.36 | 12.80 | 10.62 | 10.36 | 6.93 | 12.94 | 16.22 | 14.75 |

MS | 4.07 | 23.14 | 15.64 | 12.85 | 10.48 | 8.57 | 8.59 | 5.51 | 14.07 | 16.99 | 15.29 |

Error gap | −0.49 | 2.35 | 2.57 | 2.51 | 2.32 | 2.05 | 1.77 | 1.42 | −1.13 | −0.77 | −0.54 |

**Table 7.**Estimated equilibrium distributions (percentages). The table shows the probability to be attracted in the default state. In the case of the MS model, we observe that stayer companies remain stable within their rating notch.

A | B | C | D | E | F | Default | |
---|---|---|---|---|---|---|---|

MC | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 100.00 |

MS | 11.78 | 0.52 | 0.64 | 0.97 | 0.11 | 0.02 | 85.96 |

**Table 8.**Estimated transition probabilities to default. Comparison of MC and MS models with 1 < t < 1000 (% values).

Time | 1 | 2 | 3 | 4 | 5 | 10 | 20 | 50 | 100 | 500 | 1000 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|

A | MC | 0.19 | 0.53 | 0.98 | 1.53 | 2.15 | 6.1 | 15.33 | 39.28 | 65.18 | 99.59 | 100 |

MS | 0.22 | 0.58 | 1.05 | 1.6 | 2.23 | 5.94 | 13.94 | 33.24 | 52.61 | 73.64 | 73.75 | |

B | MC | 0.4 | 0.96 | 1.66 | 2.47 | 3.34 | 8.15 | 17.69 | 41.03 | 66.19 | 99.6 | 100 |

MS | 0.4 | 0.99 | 1.75 | 2.63 | 3.6 | 9.01 | 19.8 | 45.33 | 70.92 | 98.7 | 98.85 | |

C | MC | 0.93 | 2.11 | 3.4 | 4.71 | 6.01 | 11.91 | 21.62 | 43.91 | 67.84 | 99.62 | 100 |

MS | 0.93 | 2.13 | 3.44 | 4.79 | 6.13 | 12.35 | 23.01 | 47.36 | 71.73 | 98.19 | 98.33 | |

D | MC | 2.63 | 5.08 | 7.27 | 9.2 | 10.93 | 17.6 | 27.07 | 47.86 | 70.1 | 99.65 | 100 |

MS | 2.63 | 5.05 | 7.2 | 9.1 | 10.79 | 17.44 | 27.39 | 49.51 | 71.63 | 95.63 | 95.77 | |

E | MC | 5.96 | 10.3 | 13.36 | 15.64 | 17.47 | 23.88 | 32.65 | 51.85 | 72.39 | 99.68 | 100 |

MS | 5.93 | 10.2 | 13.19 | 15.42 | 17.23 | 23.67 | 32.99 | 53.63 | 74.28 | 96.68 | 96.81 | |

F | MC | 17.53 | 23.77 | 26.65 | 28.42 | 29.75 | 34.54 | 41.8 | 58.36 | 76.12 | 99.72 | 100 |

MS | 17.51 | 23.79 | 26.73 | 28.55 | 29.94 | 35.07 | 43.15 | 61.47 | 79.81 | 99.71 | 99.82 |

Panel 1: Mobility indices by starting rating (and global), for the annual estimated transition matrices$\widehat{\mathit{M}}$$\text{}\mathbf{and}\text{}\widehat{\mathit{P}}$(percentages) | |||||||

Rating | A | B | C | D | E | F | Default |

${I}_{dir}\left(\widehat{M}\right)$ | −6.32 | −1.65 | 0.68 | 5.35 | 13.76 | 25.98 | 0 |

${I}_{tr}\left(\widehat{M}\right)$ | 23.56 | 38.82 | 39.33 | 33.66 | 60.96 | 72.07 | 0 |

${I}_{dir}\left(\widehat{P}\right)$ | −4.66 | −1.63 | 0.67 | 5.12 | 13.32 | 25.93 | 0 |

${I}_{tr}\left(\widehat{P}\right)$ | 17.38 | 38.37 | 38.68 | 32.24 | 59.03 | 71.94 | 0 |

Global Mobility Indices | ${I}_{dir}\left(\widehat{M}\right)$ −2.54 | ${I}_{tr}\left(\widehat{M}\right)$ 38.34 | ${I}_{dir}\left(\widehat{P}\right)$ −1.67 | ${I}_{tr}\left(\widehat{P}\right)$ 36.8 | |||

Panel 2: Mobility indices by starting rating (and global), for the 10-years estimated transition matrices$\widehat{{\mathit{M}}_{10}}$$\text{}\mathbf{and}\text{}\widehat{{\mathit{P}}_{10}}$(percentages) | |||||||

Rating | A | B | C | D | E | F | Default |

${I}_{dir}\left(\widehat{M}\right)$ | −29.36 | −17.42 | −3.11 | 18.43 | 31.89 | 37.23 | 0 |

${I}_{tr}\left(\widehat{M}\right)$ | 72.20 | 77.06 | 77.56 | 80.74 | 97.32 | 99.42 | 0 |

${I}_{dir}\left(\widehat{P}\right)$ | −21.65 | −17.21 | −3.06 | 17.65 | 30.88 | 37.17 | 0 |

${I}_{tr}\left(\widehat{P}\right)$ | 53.25 | 76.17 | 76.28 | 77.32 | 94.24 | 99.25 | 0 |

Global Mobility Indices | ${I}_{dir}\left(\widehat{{M}_{10}}\right)$ −16.71 | ${I}_{tr}\left(\widehat{{M}_{10}}\right)$ 72.04 | ${I}_{dir}\left(\widehat{{P}_{10}}\right)$ −12.56 | ${I}_{tr}\left(\widehat{{P}_{10}}\right)$ 68.07 |

© 2019 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/).

## Share and Cite

**MDPI and ACS Style**

Ferretti, C.; Gabbi, G.; Ganugi, P.; Sist, F.; Vozzella, P.
Credit Risk Migration and Economic Cycles. *Risks* **2019**, *7*, 109.
https://doi.org/10.3390/risks7040109

**AMA Style**

Ferretti C, Gabbi G, Ganugi P, Sist F, Vozzella P.
Credit Risk Migration and Economic Cycles. *Risks*. 2019; 7(4):109.
https://doi.org/10.3390/risks7040109

**Chicago/Turabian Style**

Ferretti, Camilla, Giampaolo Gabbi, Piero Ganugi, Federica Sist, and Pietro Vozzella.
2019. "Credit Risk Migration and Economic Cycles" *Risks* 7, no. 4: 109.
https://doi.org/10.3390/risks7040109