How do I derive credit migration/transition matrices or spreads from default probability? May you please provide references, or do you know what type of articles or authors to find?
I am trying to build out a probability of default model for a bond. Given the current price of a bond and the current risk free rate, I am trying to calculate the probability of default. So assume a ...
I am currently working on my thesis where I discuss the Merton default probability model. I have a huge sample of US firms for the period 1990-2010. I use both numerical and complex iterative approach ...
Is there any way to adjust the average cumulative credit loss rates (Exihibit 22) in Annual Default Study 1920-2012 by Moody due to country risk?
I would like to know whether we can adjust the average cumulative credit loss rates (Exihibit 22) in Annual Default Study 1920-2012 by Moody due to country risk (eg. Damodaran country risk premium). ...