Rating Migration and Bond Valuation: Decomposing Rating Migration Matrices from Market Data via Default Probability Term Structures
The study builds on previous research that decomposes rating category default probability term structures from rating category interest rate term structures, and proposes a method to decompose rating migration matrices from market data, via decomposed default probability term structures. To investig...
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| Format: | Article |
| Language: | English |
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Sprint Investify
2017-09-01
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| Series: | Expert Journal of Finance |
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| Online Access: | http://finance.expertjournals.com/23597712-506/ |