DEBT INVESTMENTS - Pricing Credit Derivatives with Rating Transitions - The discrete-time, arbitrage-free model for valuing risky debt that is presented allows joint calibration of spread processes for all rating classes.
| Year of publication: |
2002
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| Authors: | Acharya, Viral V. ; Das, Sanjiv Ranjan ; Sundaram, Rangarajan K. |
| Published in: |
Financial analysts' journal : FAJ. - Charlottesville, Va : CFA Institute, ISSN 0015-198X, ZDB-ID 2194090. - Vol. 58.2002, 3, p. 28-44
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