Testing time-homogeneity of rating transitions after origination of debt

Rafael Weißbach (), Patrick Tschiersch and Claudia Lawrenz

Empirical Economics, 2009, vol. 36, issue 3, pages 575-596

Keywords: Portfolio credit risk; Rating transitions; Markov model; Time-homogeneity; Likelihood ratio; C51; G11; G18; G33 (search for similar items in EconPapers)
Date: 2009
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