Risk-Neutral Credit Transition

4 Pages Posted: 9 Nov 2015

Date Written: February 1, 2015

Abstract

A note on the meaning of risk-neutral default probability and comments on methods for obtaining the associated credit transition probability matrix.

Keywords: credit, default probability, risk neutral, transition matrix

JEL Classification: G10, G12

Suggested Citation

Richter, Mark, Risk-Neutral Credit Transition (February 1, 2015). Available at SSRN: https://ssrn.com/abstract=2687691 or http://dx.doi.org/10.2139/ssrn.2687691

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
102
Abstract Views
631
Rank
470,652
PlumX Metrics