Credit risk modelling transition matrices - T-Copula
Posted: 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?
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?