Confidence sets for continuous-time rating transition probabilities

Journal of Banking and Finance

Volumn 28, Issue 11, 2004, Pages 2575-2602

  Christensen, Jens H E ^a   Hansen, Ernst ^b   Lando, David ^a  

^a Department of International Economics and Management   (Denmark)

^b UNIVERSITY OF COPENHAGEN   (Denmark)

Author keywords

Confidence sets; Continuous time Markov chains; Default probabilities; Rating drift; Rating transitions

Indexed keywords

EID: 4644258367     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.06.003     Document Type: Article

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