Essays about: "Georges Mansourati"

Found 1 essay containing the words Georges Mansourati.

  1. 1. Can macro variables improve transition matrix

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Georges Mansourati; Anders Olsson; [2006]
    Keywords : transition matrix; credit migration matrix; migration matrix; macro economic indicators; forecasting the transition matrix;

    Abstract : Transition matrices that describe the probability for firms to migrate between rating classes are important inputs in many credit risk applications. In this thesis we try to find a simple way to forecast transition matrices that reflect actual future probabilities of credit migration better than unconditional transition matrices. READ MORE