Predicting credit ratings and transition probabilities : a simple cumulative link model with firm-specific frailty
Ruey-Ching Hwang, Chih-Kang Chu and Yi-Chi Chen
| Year of publication: |
2023
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|---|---|
| Authors: | Hwang, Ruey-Ching ; Chu, Chih-Kang ; Chen, Yi-Chi |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 23.2023, 1, p. 149-168
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| Subject: | Cumulative link model | expanding rolling window approach | firm-specific frailty | long-term issuer credit rating | maximum marginal likelihood | transition probability | Kreditwürdigkeit | Credit rating | Theorie | Theory | Kreditrisiko | Credit risk | Prognoseverfahren | Forecasting model | Wahrscheinlichkeitsrechnung | Probability theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2125820 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013490962