Measurement and Estimation of Credit Migration Matrices
Year of publication: |
2003-04
|
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Authors: | Schuermann, Til ; Jafry, Yusuf |
Institutions: | Financial Institutions Center, Wharton School of Business |
Subject: | Credit risk | risk management | matrix norms | bootstrapping | credit derivatives |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C41 - Duration Analysis ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation |
Source: |
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