CREDIT RISK VALUATION WITH RATING TRANSITIONS AND PARTIAL INFORMATION
Year of publication: |
2014
|
---|---|
Authors: | HAINAUT, DONATIEN ; ROBERT, CHRISTIAN YANN |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 07, p. 1450046-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Credit migrations models | partial and delayed information | corporate bonds | credit derivatives | phase-type distributions |
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