Credit rating dynamics and Markov mixture models

Journal of Banking and Finance

Volumn 32, Issue 6, 2008, Pages 1062-1075

  Frydman, Halina ^a   Schuermann, Til ^b  

^a NEW YORK UNIVERSITY   (United States)

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

Author keywords

Credit derivatives; Credit risk; Risk management

Indexed keywords

EID: 43149119024     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.09.013     Document Type: Article

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