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Credit risk modelling transition matrices - T-Copula

Posted: February 21st, 2021, 12:04 pm
by sharper
I have been using the Belkin approach to calibration the Vasicek credit transition matrix model as outlined here: ... 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?