Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing
Authors:
- Anil BangiaABAnil Bangia
- Francis X. DieboldFDFrancis X. Diebold
- Til SchuermannTSTil Schuermann
Preprint
- 1 January 2001
- preprint
- Published by Elsevier in SSRN Electronic Journal
Abstract
The turmoil in the capital markets in 1997 and 1998 has highlighted the need for systematic stress testing of banks' portfolios, including both their trading anKeywords
All Related Versions
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