This is machine translation

Translated by Microsoft
Mouse over text to see original. Click the button below to return to the English verison of the page.

Credit Risk Analysis

The credit rating and estimation transition probabilities come from:

[39] Altman, E. "Financial Ratios, Discriminant Analysis and the Prediction of Corporate Bankruptcy." Journal of Finance. Vol. 23, No. 4, (Sep., 1968), pp. 589–609.

[40] Basel Committee on Banking Supervision, International Convergence of Capital Measurement and Capital Standards: A Revised Framework, Bank for International Settlements (BIS). comprehensive version, June 2006.

[41] Hanson, S. and T. Schuermann. "Confidence Intervals for Probabilities of Default." Journal of Banking & Finance. Vol. 30(8), Elsevier, August 2006, pp. 2281–2301.

[42] Jafry, Y. and T. Schuermann. "Measurement, Estimation and Comparison of Credit Migration Matrices." Journal of Banking & Finance. Vol. 28(11), Elsevier, November 2004, pp. 2603–2639.

[43] Löffler, G. and P. N. Posch. Credit Risk Modeling Using Excel and VBA. West Sussex, England: Wiley Finance, 2007.

[44] Schuermann, T. "Credit Migration Matrices." in E. Melnick and B. Everitt (eds.), Encyclopedia of Quantitative Risk Analysis and Assessment. Wiley, 2008.

Was this topic helpful?