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: 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
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