Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations-Reference-Cited by-同舟云学术

Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations

Published:2020-04-07 Issue:7 Volume:20 Page:1069-1083
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

dos Reis G.¹²^ORCID,Pfeuffer M.³,Smith G.¹⁴

Affiliation:

1. School of Mathematics, Maxwell Institute for Mathematical Sciences, The University of Edinburgh, James Clerk Maxwell Building, Peter Guthrie Tait Road, Edinburgh EH9 3FD, UK

2. Centro de Matemática e Aplicações (CMA), FCT, UNL, Portugal

3. Department of Statistics and Econometrics, University of Erlangen-Nüremberg, Lange Gasse 20, 90403 Nuremberg, Germany

4. Moody's Analytics, 7 Exchange Crescent Conference Square, Edinburgh EH3 8RD, UK

Funder

Fundação para a Ciência e a Tecnologia

Universitätsbund Erlangen-Nuremberg

UK Engineering and Physical Sciences Research Council

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1726439

Reference38 articles.

1. The Implications of Corporate Bond Ratings Drift

2. Hawkes Processes in Finance

3. Markov Chain Models of Portfolio Credit Risk

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