Enhanced PD-implied ratings by targeting the credit rating migration matrix
A high-quality and granular probability of default (PD) model is on many practical dimensions far superior to any categorical credit rating system. Business adoption of a PD model, however, needs to factor in the long-established business/regulatory conventions built around letter-based credit ratin...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2021-11-01
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| Series: | Journal of Finance and Data Science |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2405918821000052 |