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:	Default 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

id	sg-nus-scholar.10635-232002
record_format	dspace
spelling	sg-nus-scholar.10635-2320022022-10-11T07:52:24Z Enhanced PD-implied ratings by targeting the credit rating migration matrix Duan, Jin-Chuan Li, Shuping RISK MANAGEMENT INSTITUTE ASIAN INSTITUTE OF DIGITAL FINANCE 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	RISK MANAGEMENT INSTITUTE
author_facet	RISK MANAGEMENT INSTITUTE 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
_version_	1749178800825958400

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

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