Sovereign Credit Rating, Rating Migration, and the Risk-Free Rate: A Joint Markov Process and Random Walk Modelling of the Risk-Free Rate-Reference-Cited by-同舟云学术

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Sovereign Credit Rating, Rating Migration, and the Risk-Free Rate: A Joint Markov Process and Random Walk Modelling of the Risk-Free Rate

Published:2017 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Barnard Brian

Publisher

Elsevier BV

Reference15 articles.

1. Currency Unions

2. Rating Migration and Bond Valuation: Towards Ahistorical Rating Migration Matrices and Default Probability Term Structures

3. Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data Via Default Probability Term Structures

4. A continuous time approach to the pricing of bonds;M J Brennan;Journal of Banking & Finance,1979

5. What caused the Asian currency and financial crisis;G Corsetti;Japan and the world economy,1999

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