An evaluation model for downgrade protection

DOI10.1007/BF03167408zbMath0988.91036MaRDI QIDQ5950034

Kimiaki Aonuma

Publication date: 22 July 2002

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

Markov chaincredit ratingcredit spreadsdowngrade protection

Mathematics Subject Classification ID

Cites Work

• An estimation model for the term structure of yield spread
• Unnamed Item

This page was built for publication: An evaluation model for downgrade protection