𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Credit rating dynamics and Markov mixture models

✍ Scribed by Halina Frydman; Til Schuermann

Book ID
116615092
Publisher
Elsevier Science
Year
2008
Tongue
English
Weight
256 KB
Volume
32
Category
Article
ISSN
0378-4266

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Credit Market Interest Rates and Exchang
Credit Market Interest Rates and Exchange Rate Dynamics
✍ Christos Papazoglou; Pavlos Karadeloglou πŸ“‚ Article πŸ“… 1997 πŸ› John Wiley and Sons 🌐 English βš– 129 KB

This paper examines the effects of both anticipated and unanticipated monetary disturbances in a small open economy by taking into consideration adjustments in the banks' portfolio of earning assets. It primarily focuses on the adjustment of credit market interest rates as well as on that of the exc

Pricing credit spread options under a Ma
Pricing credit spread options under a Markov chain model with stochastic default rate
✍ Jangkoo Kang; Hwa-Sung Kim πŸ“‚ Article πŸ“… 2004 πŸ› John Wiley and Sons 🌐 English βš– 137 KB πŸ‘ 1 views

## Abstract This paper studies a Markov chain model that, unlike the existing models, has a stochastic default rate model so as to reflect real world phenomena. We extend the existing Markov chain models as follows: First, our model includes both the economy‐wide and the rating‐specific factors, wh