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

Journal of Banking and Finance

Volumn 26, Issue 2-3, 2002, Pages 445-474

  Bangia, Anil ^a   Diebold, Francis X ^b,c   Kronimus, André ^d   Schagen, Christian ^d   Schuermann, Til ^e  

^a Wyman and Company   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

^c NATIONAL BUREAU OF ECONOMIC RESEARCH   (United States)

^d WHU OTTO BEISHEIM SCHOOL OF MANAGEMENT   (Germany)

^e FEDERAL RESERVE BANK OF NEW YORK   (United States)

Author keywords

Credit portfolio management; Credit risk; Ratings migration; Stress testing

Indexed keywords

EID: 0036150715     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4266(01)00229-1     Document Type: Article

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