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q-fin.RM2024★ 1 cited
A Markov approach to credit rating migration conditional on economic states
Michael Kalkbrener, Natalie Packham
We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and th…
q-fin.RM2020
Structured climate financing: valuation of CDOs on inhomogeneous asset pools
N. Packham
Recently, a number of structured funds have emerged as public-private partnerships with the intent of promoting investment in renewable energy in emerging markets. These funds seek…