Time series properties of a rating system based on financial ratios
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More about this item
KeywordsReduced Form Models; Rating Transitions; Markov Property; Internal Rating Systems; Time Homogeneity; Matrix Norms;
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
- G20 - Financial Economics - - Financial Institutions and Services - - - General
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-08-05 (All new papers)
- NEP-FIN-2006-08-05 (Finance)
- NEP-FMK-2006-08-05 (Financial Markets)
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