Enhanced PD-implied ratings by targeting the credit rating migration matrix

Enhanced PD-implied ratings by targeting the credit rating migration matrix

10.1016/j.jfds.2021.05.001

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Bibliographic Details
Main Authors: Duan, Jin-Chuan, Li, Shuping
Other Authors: RISK MANAGEMENT INSTITUTE
Format: Article
Published: KeAi Communications Co. 2022
Subjects:
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Other-exit
Rating stickiness
Sequential Monte Carlo
Online Access:https://scholarbank.nus.edu.sg/handle/10635/232002
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Institution: National University of Singapore
Description
Summary:10.1016/j.jfds.2021.05.001

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