30
A Rating-Based Approach to Pricing Sovereign Credit Risk
Chapter Outline
30.2 Literature Review and Methodology
30.4 Transition Matrices Estimation
30.4.1 In-sample analysis: Business cycle effect
30.5.1 A first calibration technique: Pricing spread options
30.5.2 A second calibration technique: Pricing defaultable bonds
30.1 Introduction
Assessing credit risk is key to evaluating the adequacy of a lender’s prudential balances, in informing its loan pricing policies, and in developing internal rating systems and risk management processes. In practice, credit risk can be assessed by first estimating transition ...
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