Stochastic migration models with application to corporate risk

Journal of Financial Econometrics

Volumn 3, Issue 2, 2005, Pages 188-226

  Gagliardini, Patrick ^a,c   Gouriéroux, Christian ^b  

^a UNIVERSITY OF LUGANO   (Switzerland)

^b UNIVERSITY OF TORONTO   (Canada)

^c UNIVERSITY OF ST GALLEN   (Switzerland)

Author keywords

Credit risk; Jacobi process; Kalman filter; Migration correlation; Rating stochastic intensity

Indexed keywords

EID: 27244441009     PISSN: 14798409     EISSN: None     Source Type: Journal    
DOI: 10.1093/jjfinec/nbi013     Document Type: Article

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