Transition matrix models of consumer credit ratings
Although the corporate credit risk literature has many studies modelling the change in the credit risk of corporate bonds over time, there is far less analysis of the credit risk for portfolios of consumer loans. However behavioural scores, which are commonly calculated on a monthly basis by most co...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
2012-01.
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| Subjects: | |
| Online Access: | Get fulltext |