Ratings migration and the business cycle, with application to credit portfolio stress testing-Reference-Cited by-同舟云学术

Ratings migration and the business cycle, with application to credit portfolio stress testing

Published:2002-03 Issue:2-3 Volume:26 Page:445-474
ISSN:0378-4266
Container-title:Journal of Banking & Finance
language:en
Short-container-title:Journal of Banking & Finance

Author:

Bangia Anil,Diebold Francis X,Kronimus André,Schagen Christian,Schuermann Til

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference27 articles.

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3. Almost everything you wanted to know about recoveries on defaulted bonds;Altman;Financial Analysts Journal,1996

4. Great realizations;Andersen;Risk,2000

5. Bahar, R., Nagpal, K., 2000. Rating transitions: Modelling the dynamics. Credit, March, 57–63

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