PD-Implied Ratings via Referencing a Credit Rating/Scoring Pool’s Default Experience

DOI10.1007/978-3-030-49728-6_6zbMath1479.91425OpenAlexW3047550164MaRDI QIDQ5015919

Shu-ping Li, Jin-Chuan Duan

Publication date: 10 December 2021

Published in: Studies in Computational Intelligence (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-49728-6_6

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

• Multiperiod corporate default prediction -- a forward intensity approach
• Data-cloning \(SMC^2\): a global optimizer for maximum likelihood estimation of latent variable models

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