The study examines rating migration, and default probability term structures obtained from rating migration matrices. It expands on the use of rating migration matrices with reduced form bond valuation models, by formally delineating the probability of default according to the likely rating...

The study builds on previous research that decomposes rating category default probability term structures from rating category interest rate term structures, and proposes a method to decompose rating migration matrices from market data, via decomposed default probability term structures. To...

Rating migration variation or volatility, as rating migration uncertainty, is a real-life phenomenon that can be measured empirically. The study extends reduced form bond valuation models based on rating migration (matrices) by allowing variation in the rating migration matrix, as opposed to...

Rating migration variation or volatility, as rating migration uncertainty, is a real-life phenomenon, that can be measured empirically. The study extends reduced form bond valuation models based on rating migration (matrices), by allowing variation in the rating migration matrix, as opposed to...