Migration correlation: Definition and efficient estimation

Journal of Banking and Finance

Volumn 29, Issue 4, 2005, Pages 865-894

  Gagliardini, P ^a,b   Gourieroux C ^b,c  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b CREST   (France)

^c UNIVERSITY OF TORONTO   (Canada)

Author keywords

Credit risk; Migration; Migration correlation; Rating; Stochastic transition

Indexed keywords

EID: 12444290992     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.08.006     Document Type: Article

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