Bayesian inference for issuer heterogeneity in credit ratings migration

Journal of Banking and Finance

Volumn 32, Issue 10, 2008, Pages 2267-2274

  Kadam, Ashay ^a   Lenk, Peter ^b  

^a CITY UNIVERSITY   (United Kingdom)

^b UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Bayesian inference; Credit risk; Heterogeneity; Markov chains; Risk capital

Indexed keywords

EID: 47949125290     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2007.12.043     Document Type: Article

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