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Martin Stötzel

University of Karlsruhe

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76128 Karlsruhe, DE 76128

Germany

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Scholarly Papers (1)

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Time Series Properties of a Rating System Based on Financial Ratios

Bundesbank Series 2 Discussion Paper No. 2005,14
Number of pages: 61 Posted: 08 Jun 2016
Ulrich Krüger, Martin Stötzel and Stefan Trück
Deutsche Bundesbank, University of Karlsruhe and Macquarie University - Department of Actuarial Studies and Business Analytics
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Abstract:

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Reduced Form Models, Rating Transitions, Markov Property, Internal Rating Systems, Time Homogeneity, Matrix Norms