Bhaumik, Sumon; Landon-Lane, John S. - William Davidson Institute, University of Michigan - 2007
understand the underlying characteristics of debt ratings migration and, for the case of the data set used, that the standard … underlying characteristics of debt ratings migration and, for the case
of the data set used, that the standard Markov chain model … needs for
capital (in the case of a bank).
While there are several ways to model the likelihood of a ratings migration, most …