Credit rating dynamics in the presence of unknown structural breaks

H Xing, N Sun, Y Chen - Journal of Banking & Finance, 2012 - Elsevier
In many credit risk and pricing applications, credit transition matrix is modeled by a constant
transition probability or generator matrix for Markov processes. Based on empirical …
被引用次数：44 相关文章

Credit Rating Dynamics in the Presence of Unknown Structural Breaks

H Xing, N Sun, Y Chen - Available at SSRN 1694061, 2010 - papers.ssrn.com
In many credit risk and pricing applications, credit transition matrix is modeled by a constant
transition probability or generator matrix for Markov processes. Based on empirical …

Credit rating dynamics in the presence of unknown structural breaks

H Xing, N Sun, Y Chen - Journal of Banking & Finance, 2012 - econpapers.repec.org
In many credit risk and pricing applications, credit transition matrix is modeled by a constant
transition probability or generator matrix for Markov processes. Based on empirical …

Credit rating dynamics in the presence of unknown structural breaks

H Xing, N Sun, Y Chen - Journal of Banking and Finance, 2012 - infona.pl
In many credit risk and pricing applications, credit transition matrix is modeled by a constant
transition probability or generator matrix for Markov processes. Based on empirical …
[PDF] stonybrook.edu

[PDF][PDF] Credit rating dynamics in the presence of unknown structural breaks

H Xing, N Sun, Y Chen - Journal of Banking & Finance, 2012 - ams.stonybrook.edu
abstract In many credit risk and pricing applications, credit transition matrix is modeled by a
constant transition probability or generator matrix for Markov processes. Based on empirical …

Credit rating dynamics in the presence of unknown structural breaks

H Xing, N Sun, Y Chen - Journal of Banking & Finance, 2012 - ideas.repec.org
In many credit risk and pricing applications, credit transition matrix is modeled by a constant
transition probability or generator matrix for Markov processes. Based on empirical …

[引用][C] Credit rating dynamics in the presence of unknown structural breaks

H Xing, N Sun, Y Chen - Journal of banking and finance, 2012 - dialnet.unirioja.es

Credit rating dynamics in the presence of unknown structural breaks

H Xing, N Sun, Y Chen - Journal of Banking and Finance, 2012 - infona.pl
In many credit risk and pricing applications, credit transition matrix is modeled by a constant
transition probability or generator matrix for Markov processes. Based on empirical …