Parameterizing credit risk models with rating data

Author:

Carey Mark,Hrycay Mark

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference22 articles.

1. Financial ratios, discriminant analysis and the prediction of corporate bankruptcy;Altman;Journal of Finance,1968

2. Credit risk measurement: Developments over the last 20 years;Altman;Journal of Banking and Finance,1997

3. Default rates in the syndicated bank loan market: A mortality analysis;Altman;Journal of Banking and Finance,2000

4. Basel Committee on Banking Supervision, 1999. A new capital adequacy framework. Bank for International Settlements, Basel, June 3

5. Blume, M.E., Felix L., Craig M.A., 1998. The declining credit quality of US corporate debt: Myth or reality? Journal of Finance 53 (4), 1389–1413

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