https://www.risk.net/journal-of-risk-model-validation/7882826/a-pricing-model-with-dynamic-credit-rating-transition-matrixes
A pricing model with dynamic credit rating transition matrixes - Journal of Risk Model Validation
Jan 28, 2022 - This paper incorporates a stochastic credit rating transition matrix into the Acharya–Das–Sundaram model and implements a simulation based pricing method
journal of riskpricing modelcredit ratingtransition matrixesdynamic