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Berteloot et al., 2013 - Google Patents

A novel credit rating migration modeling approach using macroeconomic indicators

Berteloot et al., 2013

Document ID
17196828482754128187
Author
Berteloot K
Verbeke W
Castermans G
Van Gestel T
Martens D
Baesens B
Publication year
Publication venue
Journal of Forecasting

External Links

Snippet

Modeling credit rating migrations conditional on macroeconomic conditions allows financial institutions to assess, analyze, and manage the risk related to a credit portfolio. Existing methodologies to model credit rating migrations conditional on the business cycle suffer …
Continue reading at onlinelibrary.wiley.com (other versions)

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