Dynamic Estimation of Credit Rating Transition Probabilities

We present a continuous-time maximum likelihood estimation methodology for credit rating transition probabilities, taking into account the presence of censored data. We perform rolling estimates of the transition matrices with exponential time weighting with varying horizons and discuss the underlying dynamics of transition generator matrices in the long-term and short-term estimation horizons

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Year of publication:	2005
Authors:	Berd, Arthur M.
Publisher:	[S.l.] : SSRN
Subject:	Kreditwürdigkeit \| Credit rating \| Kreditrisiko \| Credit risk \| Markov-Kette \| Markov chain \| Schätztheorie \| Estimation theory \| Wahrscheinlichkeitsrechnung \| Probability theory

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Extent:	1 Online-Ressource (28 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2, 2005 erstellt
Other identifiers:	10.2139/ssrn.842664 [DOI]
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; C32 - Time-Series Models ; C34 - Truncated and Censored Models ; G10 - General Financial Markets. General
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014061485