Title:

Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations

Authors:

Gonçalo dos Reis (U Nova, U Edinburgh)
M. Pfeuffer (Friedrich-Alexander U Erlangen-Nuremberg)
Greig Smith (U Edinburgh)

Journal:

Quantitative Finance

Year:

2020

Volume:

20

Number:

7

Pages:

1069-1083

JEL codes:

G24 - Investment Banking; Venture Capital; Brokerage; Rating Agencies
G32 - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure

DOI:

10.1080/14697688.2020.1726439