A Multi-Credit-Rating Migration Model with Asymmetric Migration Boundaries
In this paper, we propose an extended credit migration model with asymmetric fixed boundaries and multiple ratings, for a more precise depiction of credit changes in the real world. A model with three ratings is established and analyzed as an example, and then the results are generalized to a genera...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-01-01
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| Series: | Mathematical and Computational Applications |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2297-8747/29/1/7 |