Sökning: "Georges Mansourati"

Hittade 1 uppsats innehållade orden Georges Mansourati.

  1. 1. Can macro variables improve transition matrix

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Georges Mansourati; Anders Olsson; [2006]
    Nyckelord :transition matrix; credit migration matrix; migration matrix; macro economic indicators; forecasting the transition matrix;

    Sammanfattning : Transition matrices that describe the probability for firms to migrate between rating classes are important inputs in many credit risk applications. In this thesis we try to find a simple way to forecast transition matrices that reflect actual future probabilities of credit migration better than unconditional transition matrices. LÄS MER