Giuseppe, Biase di; D'Amico, Guglielmo; Janssen, Jacques; … - In: Czech Journal of Economics and Finance (Finance a uver) 64 (2014) 3, pp. 233-245
This paper presents a duration dependent model for analyzing the evolution of credit ratings. It considers the backward recurrence process to tackle the time of permanence problem in the rating classes. In this way it is possible to manage the duration effects, which represent one of the most...