Yusuf Jafry

Massachusetts Institute of Technology (MIT)

50 Memorial Drive

Cambridge, MA 02139-4307

United States

  • Massachusetts Institute of Technology (MIT)

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Scholarly Papers (2)

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1.

Metrics for Comparing Credit Migration Matrices

Wharton Financial Institutions Center Working Paper No. 03-09
Number of pages: 43 Posted: 09 May 2003
Yusuf Jafry and Til Schuermann
Massachusetts Institute of Technology (MIT) and Oliver Wyman
Downloads 1,216 (33,951)
Citation 7

Abstract:

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credit migration matrix, matrix norm, mobility indices, singular values, risk management

2.

Measurement and Estimation of Credit Migration Matrices

Wharton Financial Institutions Center Working Paper No. 03-08
Number of pages: 44 Posted: 09 May 2003
Yusuf Jafry and Til Schuermann
Massachusetts Institute of Technology (MIT) and Oliver Wyman
Downloads 638 (81,680)
Citation 17

Abstract:

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Credit risk, risk management, matrix norms, bootstrapping, credit derivatives