Confidence sets for continuous-time rating transition probabilities

B-Tier

Journal: Journal of Banking & Finance

Year: 2004

Volume: 28

Issue: 11

Pages: 2575-2602

Authors (3)

Christensen, Jens H.E. (not in RePEc) Hansen, Ernst (not in RePEc) Lando, David (Copenhagen Business School)

Score contribution per author:

0.670 = (α=2.01 / 3 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count