The study proposes and tests a risk-free rate model that simultaneously lets the risk-free rate migrate between rating categories as risk-free rate ranges, and follow a random walk within rating categories as risk-free rate ranges. Although the study arbitrarily assigned rating categories, and...

The study builds on previous research that decomposes rating category default probability term structures from rating category interest rate term structures, and proposes a method to decompose rating migration matrices from market data, via decomposed default probability term structures. To...

The study re-examines bond valuation and default risk, by considering and relaxing assumptions regarding integer rating migration, and portfolio rating migration, and consequently the implied degree of diversification. A reduced form model, based on (a) rating migration (matrix), serve as basis...

Rating migration variation or volatility, as rating migration uncertainty, is a real-life phenomenon, that can be measured empirically. The study extends reduced form bond valuation models based on rating migration (matrices), by allowing variation in the rating migration matrix, as opposed to...

The study reexamines bond valuation and default risk by considering and relaxing assumptions regarding integer rating migration and portfolio rating migration, and consequently the implied degree of diversification. A reduced form model, based on (a) rating migration (matrix) serves as the basis...

Rating migration variation or volatility, as rating migration uncertainty, is a real-life phenomenon that can be measured empirically. The study extends reduced form bond valuation models based on rating migration (matrices) by allowing variation in the rating migration matrix, as opposed to...

The study reviews equity valuation, and proposes an alternative equity valuation model based on a random process modelling of earnings and equity growth. A Markov process is used to model earnings, standardized as earnings to book value, and book value based on rating category. This assumes a...

The study proposes and tests a risk-free rate model that simultaneously lets the risk-free rate migrate between rating categories as risk-free rate ranges, and follow a random walk within rating categories as risk-free rate ranges. This is seen as a more accurate modelling of the risk-free rate,...