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A Novel Credit Rating Migration Modeling Approach Using Macroeconomic Indicators - MaRDI portal

A Novel Credit Rating Migration Modeling Approach Using Macroeconomic Indicators

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Publication:4687349

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DOI10.1002/FOR.2263zbMath1397.91586OpenAlexW2155752293MaRDI QIDQ4687349

Gerd Castermans, Wouter Verbeke, Bart Baesens, Koen Berteloot, David Martens, Tony van Gestel

Publication date: 11 October 2018

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2263

zbMATH Keywords

logistic regression stress testing migration matrix credit portfolio risk

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Credit risk (91G40)

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