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Keywords: Transition matrix
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Journal Articles
CDS-based implied probability of default estimation
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2020) 21 (4): 399–422.
Published: 21 July 2020
..., a methodology is implemented to determine the implied default probability and the implied rating, and then to estimate the term structure of the market-implied default probability and the transition matrix of implied rating. The term structure estimation in discrete time is conducted with the Nelson and Siegel...
