Parameterizing Credit Risk Models with Rating Data
Preprint
- 1 January 2001
- preprint
- Published by Elsevier in SSRN Electronic Journal
- Vol. 25 (1) , 197-270
- https://doi.org/10.2139/ssrn.249294
Abstract
Estimates of average default probabilities for borrowers assigned to each of a financial institution's internal credit risk rating grades are crucial inputs toKeywords
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