A credit-sensitive note (CSN) is a corporate coupon-bearing bond whose floating coupon rates link to the credit rating of the corporation. Acharya, Das and Sundaram proposed a model to price them, but ...

This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk ...

Credit rating transition matrices form a little noticed yet vital part of many financial models. Based on historical data, transition matrices measure how quickly ratings can be expected to move from ...