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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.

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