A Markov approach to credit rating migration conditional on economic states
M Kalkbrener, N Packham - arXiv preprint arXiv:2403.14868, 2024 - arxiv.org
We develop a model for credit rating migration that accounts for the impact of economic state
fluctuations on default probabilities. The joint process for the economic state and the rating is …
fluctuations on default probabilities. The joint process for the economic state and the rating is …
A Markov approach to credit rating migration conditional on economic states
M Kalkbrener, N Packham - 2024 - ideas.repec.org
We develop a model for credit rating migration that accounts for the impact of economic state
fluctuations on default probabilities. The joint process for the economic state and the rating is …
fluctuations on default probabilities. The joint process for the economic state and the rating is …
A Markov approach to credit rating migration conditional on economic states
M Kalkbrener, N Packham - arXiv e-prints, 2024 - ui.adsabs.harvard.edu
We develop a model for credit rating migration that accounts for the impact of economic state
fluctuations on default probabilities. The joint process for the economic state and the rating is …
fluctuations on default probabilities. The joint process for the economic state and the rating is …
A Markov approach to credit rating migration conditional on economic states
M Kalkbrener, N Packham - 2024 - econpapers.repec.org
We develop a model for credit rating migration that accounts for the impact of economic state
fluctuations on default probabilities. The joint process for the economic state and the rating is …
fluctuations on default probabilities. The joint process for the economic state and the rating is …