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sharper
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Posts: 22
Joined: June 8th, 2009, 1:25 pm

Credit risk modelling transition matrices - T-Copula

February 21st, 2021, 12:04 pm

I have been using the Belkin approach to calibration the Vasicek credit transition matrix model as outlined here:
https://www.z-riskengine.com/media/1037 ... ricing.pdf

Does anyone know of a similar paper describing how to calibrate a model to historic transition matrices using a T-copula rather than the Gaussian copula assumed in Vasicek?
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