Credit risk transition probabilities between aggregate portfolio classes constitute a very useful tool when individual transition data are not available. Jones (2005) estimates Markovian Credit Transition Matrices using an adjusted least squares method. Given the arguments of Judge and Takayama...

In the context of Merton [1974] and Vasicek [1987, 2002] Gaussian single-factor credit risk models, the authors examine the impact of neglected non-normality of the underlying asset return process on the shape of the derived credit loss distribution and the resulting Basel capital requirements....

Wegeneralize existing structural credit riskmodels that account for contagion effects across economic sectors, to capture the impact of neglected skewness and excess kurtosis in the asset return process, on the shape of the credit loss distribution. We specify Skew-Normal and Skew-Student t...