Measurement, estimation and comparison of credit migration matrices

Journal of Banking and Finance

Volumn 28, Issue 11, 2004, Pages 2603-2639

  Jafry, Yusuf ^a   Schuermann, Til ^b  

^a Risk Integrated Group   (United Kingdom)

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

Author keywords

Credit risk; Matrix norm; Mobility index; Risk management; Singular values

Indexed keywords

EID: 4644279736     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2004.06.004     Document Type: Article

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