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0

Unfortunately with the S&P ratings, the rating is not in term of timeseries http://www.standardandpoors.com/en_US/web/guest/home If anyone is able to find any historical S&P credit ratings by country, please post them.


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$$\text{Pr}[\tau_1>t,\tau_2\leq t,\tau_3\leq t]=\text{Pr}[\tau_2\leq t,\tau_3\leq t] - \text{Pr}[\tau_1\leq t,\tau_2\leq t,\tau_3\leq t]$$ $$\text{Pr}[\tau_2\leq t,\tau_3\leq t]=C(1,q_2(t),q_3(t))$$



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