Ratings migration and the business cycle, with application to credit portfolio stress testing

B-Tier

Journal: Journal of Banking & Finance

Year: 2002

Volume: 26

Issue: 2-3

Pages: 445-474

Authors (5)

Bangia, Anil (not in RePEc) Diebold, Francis X. (not in RePEc) Kronimus, Andre (not in RePEc) Schagen, Christian (not in RePEc) Schuermann, Til

Score contribution per author:

0.402 = (α=2.01 / 5 authors) × 1.0x B-tier

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