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 paper examines term structure decomposition at the instrument level – decomposing term structures for issues as well as the portfolio. Three different implementations are stipulated: axiomatic structural approaches, a sequential approach, and a base structure approach. The three different...

The paper examines an axiomatic structural approach to term structure decomposition. From this perspective, term structure decomposition is modelled as an non-parsimonious optimization problem, with the structure delineated by constraints related to the likely attributes thereof, rather than by...

The study examines rating migration, and default probability term structures obtained from rating migration matrices. It expands on the use of rating migration matrices with reduced form bond valuation models, by formally delineating the probability of default according to the likely rating...