Rating Migration and Bond Valuation: Ahistorical Interest Rate and Default Probability Term Structures
The study extends the theoretical framework proposed to decompose rating migration matrices from bond market price data. Method to decompose default probability term structures for and from interest rate term structures for different rating categories, is delineated and empirically evaluated. Emphas...
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| Format: | Article |
| Language: | English |
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Sprint Investify
2018-12-01
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| Series: | Expert Journal of Finance |
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| Online Access: | http://finance.expertjournals.com/23597712-603/ |