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: | Jin-Chuan Duan, Shuping Li |
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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 |
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