Publisher
Springer Nature Singapore
Reference7 articles.
1. Christensen, J., E. Hansen, D. Lando, 2004, Confidence sets for continuous-time rating transition probabilities, Journal of Banking & Finance, Vol 28 No. 11, 2575–2602
2. Gunnvald, R., Estimating Probability of Default Using Rating Migrations in Discrete and Continuous Time, https://www.math.kth.se/matstat/seminarier/reports/M-exjobb14/140908.pdf
3. Jarrow, R., and Turnbull, S., Pricing Derivatives on Financial Securities Subject to Credit Risk, Journal of Finance, 1995, 50:53–86.
4. Jarrow R A, Lando D, Turnbull S M., A Markov model for the term structure of credit risk spreads[J].Review of Financial studies, 1997, 10(2): 481–523.
5. Lando,D., T. Sk$$\phi $$deberg, 2002, Analyzing rating transitions and rating drift with continuous observations, Journal of Banking & Finance, Vol 26, 423–444