The Multi-State Latent Factor Intensity Model for Credit Rating Transitions
نویسندگان
چکیده
منابع مشابه
The real nature of credit rating transitions
It is well known that credit rating transitions exhibit a serial correlation, also known as a rating drift. This is clearly confirmed by this analysis, which also reveals that the credit rating migration process is mainly influenced by three completely different non-observable hidden risk situations, providing an individual environment for each successive rating. This finding violates the commo...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2005
ISSN: 1556-5068
DOI: 10.2139/ssrn.754704