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Bayesian migration in credit ratings based on probabilities of default

Das, Sanjiv R.; Fan, Rong; Geng, Gary - In: The journal of fixed income 12 (2002) 3, pp. 17-23

Persistent link: https://www.econbiz.de/10001763884

Das, Sanjiv R.; Fong, H. Gifford; Geng, Gary - In: The journal of fixed income 11 (2001) 3, pp. 9-19

Persistent link: https://www.econbiz.de/10001706056

Strategic loan modification : an options-based response to strategic default

Das, Sanjiv R.; Meadows, Ray - In: Journal of banking & finance 37 (2013) 2, pp. 636-647

Persistent link: https://www.econbiz.de/10009705609

Das, Sanjiv R.; Geng, Gary - In: The credit market handbook : advanced modeling issues, (pp. 186-218). 2006

Persistent link: https://www.econbiz.de/10003338134

Correlated default risk

Das, Sanjiv R.; Freed, Laurance; Geng, Gary; Kapadia, Nikunj - In: The journal of fixed income 16 (2006) 2, pp. 7-32

Persistent link: https://www.econbiz.de/10003400058

Das, Sanjiv R.; Geng, Gary - In: Credit risk : models, derivatives, and management, (pp. 347-375). 2008

Persistent link: https://www.econbiz.de/10003718543

Bandreddi, Santhosh; Das, Sanjiv R.; Fan, Rong - In: The journal of fixed income 17 (2007) 3, pp. 38-56

Persistent link: https://www.econbiz.de/10003687357

Going for broke : restructuring distressed debt portfolios

Das, Sanjiv R.; Kim, Seoyoung - In: The journal of fixed income 24 (2014) 1, pp. 5-27

Persistent link: https://www.econbiz.de/10011293048

Local volatility and the recovery rate of credit default swaps

Jansen, Jeroen; Das, Sanjiv R.; Fabozzi, Frank J. - In: Journal of economic dynamics & control 92 (2018), pp. 1-29

Persistent link: https://www.econbiz.de/10011974230

Bayesian Migration in Credit Ratings Based on Probabilities of Default

Das, Sanjiv R. - 2015

The advent of models for computing probabilities of default (PD) has provided a supplementary measure of default likelihood in addition to credit ratings. Credit ratings are a coarser measure of default likelihood, and embed the same information as PDs plus a modicum of human judgment. Rating...

Persistent link: https://www.econbiz.de/10013038212