The study proposes and tests a risk-free rate model that simultaneously lets the risk-free rate migrate between rating categories as risk-free rate ranges, and follow a random walk within rating categories as risk-free rate ranges. This is seen as a more accurate modelling of the risk-free rate,...

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...