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: ASIAN INSTITUTE OF DIGITAL FINANCE
Format: Article
Published: KeAi Communications Co. 2022
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Online Access:https://scholarbank.nus.edu.sg/handle/10635/232002
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Institution: National University of Singapore
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spelling sg-nus-scholar.10635-2320022024-11-11T23:00:42Z Enhanced PD-implied ratings by targeting the credit rating migration matrix Duan, Jin-Chuan Li, Shuping ASIAN INSTITUTE OF DIGITAL FINANCE RISK MANAGEMENT INSTITUTE Default Other-exit Rating stickiness Sequential Monte Carlo 10.1016/j.jfds.2021.05.001 Journal of Finance and Data Science 7 115-125 2022-10-11T07:52:23Z 2022-10-11T07:52:23Z 2021-11-01 Article Duan, Jin-Chuan, Li, Shuping (2021-11-01). Enhanced PD-implied ratings by targeting the credit rating migration matrix. Journal of Finance and Data Science 7 : 115-125. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jfds.2021.05.001 2405-9188 https://scholarbank.nus.edu.sg/handle/10635/232002 Attribution 4.0 International https://creativecommons.org/licenses/by/4.0/ KeAi Communications Co. Scopus OA2021
institution National University of Singapore
building NUS Library
continent Asia
country Singapore
Singapore
content_provider NUS Library
collection ScholarBank@NUS
topic Default
Other-exit
Rating stickiness
Sequential Monte Carlo
spellingShingle Default
Other-exit
Rating stickiness
Sequential Monte Carlo
Duan, Jin-Chuan
Li, Shuping
Enhanced PD-implied ratings by targeting the credit rating migration matrix
description 10.1016/j.jfds.2021.05.001
author2 ASIAN INSTITUTE OF DIGITAL FINANCE
author_facet ASIAN INSTITUTE OF DIGITAL FINANCE
Duan, Jin-Chuan
Li, Shuping
format Article
author Duan, Jin-Chuan
Li, Shuping
author_sort Duan, Jin-Chuan
title Enhanced PD-implied ratings by targeting the credit rating migration matrix
title_short Enhanced PD-implied ratings by targeting the credit rating migration matrix
title_full Enhanced PD-implied ratings by targeting the credit rating migration matrix
title_fullStr Enhanced PD-implied ratings by targeting the credit rating migration matrix
title_full_unstemmed Enhanced PD-implied ratings by targeting the credit rating migration matrix
title_sort enhanced pd-implied ratings by targeting the credit rating migration matrix
publisher KeAi Communications Co.
publishDate 2022
url https://scholarbank.nus.edu.sg/handle/10635/232002
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