Empirical Credit Risk Ratings of Individual Corporate Bonds and Derivation of Term Structures of Default Probabilities
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- Zhehao Huang & Zhenghui Li & Zhenzhen Wang, 2020. "Utility Indifference Valuation for Defaultable Corporate Bond with Credit Rating Migration," Mathematics, MDPI, vol. 8(11), pages 1-26, November.
- Seyyide Doğan & Yasin Büyükkör & Murat Atan, 2022. "A comparative study of corporate credit ratings prediction with machine learning," Operations Research and Decisions, Wroclaw University of Science and Technology, Faculty of Management, vol. 32(1), pages 25-47.
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Keywords
government bond (GB); credit risk price spread (CRiPS); corporate bond (CB); credit risk rating system; cluster analysis; Japan Rating & Investment Information Center (R&I) credit ratings; term structure of default probabilities (TSDP); investors’ behavior in the government bond market; default intensity model; fixed interval filtering;All these keywords.
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