Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk

An Application to Credit Risk

Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk
This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications where there is a paucity of data on changes in credit quality, especially at an aggregate level. Using a generalized least squares READ MORE...

Publication date: November 2005
ISBN 9781451862386
$15.00

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