There are numerous studies which have examined risk of default on the capital market. Over time have appeared many models for the determination of the risk of default. All these models have shown that the risk of default may be dependent on some observable variables, as well as financial...

This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...

This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...