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Ratings migration and the business cycle, with application to credit portfolio stress testing

Anil Bangia, Francis Diebold (), Andre Kronimus, Christian Schagen and Til Schuermann

Journal of Banking & Finance, 2002, vol. 26, issue 2-3, 445-474

Date: 2002
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Working Paper: Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing (2000) Downloads
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Handle: RePEc:eee:jbfina:v:26:y:2002:i:2-3:p:445-474