Credit Rating Migration Risk and Business Cycles

Material TypeArticleLanguageEnglish
TitleCredit Rating Migration Risk and Business Cycles Author(S)Fei Fei (Author)
Abstract  Basel III seeks to improve the financial sector’s resilience to stress scenarios which calls for a reassessment of banks’ credit risk models and, particularly, of their dependence on business cycles. This paper advocates a Mixture of Markov Chains (MMC) model to account for stochastic business cycle effects in credit rating migration risk ...Paginationp229–263
Journal TitleJournal of Business Finance & Accounting  
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