Structural model of credit migration
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Forster, Jonathan J. & Buzzacchi, Matteo & Sudjianto, Agus & Nagao, Risa, 2016. "Modelling credit grade migration in large portfolios using cumulative t-link transition models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 977-984.
- Lin, X. Sheldon & Wu, Panpan & Wang, Xiao, 2016. "Move-based hedging of variable annuities: A semi-analytic approach," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 40-49.
More about this item
KeywordsCredit migration; Credit risk; Excursion time; Risk perception; Structural model; Transition probabilities;
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