Bridging credit transitions and spread dynamics
A fast-to-calibrate model to simulate a credit rating transition matrix is presented
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Selene Comolli, Fabio Menozzi, Pietro Rossi and Riccardo Tedeschi present a model for a coherent simulation of rating transitions and credit-spread term structures based on a generator framework, building on and refining the work of Lando, Arvanitis et al and Dubrana. Their paper provides a clear formulation of the transition matrix evolution process, which allows for
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