Credit Migration Derivatives - Implementation, Calibration and Pricing

2008 ◽  
Author(s):  
Andreas Andersson
Keyword(s):  
Credit Migration

Credit migration risk modeling

2010 ◽  
Vol 6 (1) ◽  
pp. 3-30 ◽  
Author(s):  
Andreas Andersson ◽  
Paolo Vanini
Keyword(s):  
Risk Modeling ◽  
Credit Migration

A Robust Prediction of Corporate Credit Migration

2009 ◽  
Author(s):  
Taehan Bae ◽  
Reginald J. Kulperger
Keyword(s):  
Corporate Credit ◽  
Credit Migration ◽  
Robust Prediction

scholarly journals Credit migration and basket derivatives pricing with copulas

2006 ◽  
Vol 10 (1) ◽  
pp. 43-68 ◽  
Author(s):  
Tony Berrada ◽  
Debbie Dupuis ◽  
Eric Jacquier ◽  
Nicolas Papageorgiou ◽  
Bruno Rémillard
Keyword(s):  
Derivatives Pricing ◽  
Credit Migration

Pricing Derivatives using the Asymptotic Expansion Approach: Credit Migration Models with Stochastic Credit Spreads

2010 ◽  
Vol 18 (4) ◽  
pp. 345-372 ◽  
Author(s):  
Yoshifumi Muroi ◽  
E. Kazuhiro Takino
Keyword(s):  
Asymptotic Expansion ◽  
Credit Spreads ◽  
Credit Migration

scholarly journals Comparing the Efficiency of Cohort, Time Homogeneous and Non-Homogeneous Techniques of Estimation in Credit Migration Matrices

2016 ◽  
Vol 12 (04) ◽  
pp. 89-95
Author(s):  
Fred Nyamitago Monari ◽  
Dr. George Otieno Orwa ◽  
Prof. Romanus Otieno Odhiambo ◽  
Dr. Joseph Kyalo Mung’atu
Keyword(s):  
Credit Migration

ABS Credit Migration Update

2005 ◽  
Vol 11 (3) ◽  
pp. 51-63 ◽  
Author(s):  
Mark H. Adelson ◽  
Elizabeth Bartlett
Keyword(s):  
Credit Migration
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