Predicting credit ratings and transition probabilities : a simple cumulative link model with firm-specific frailty
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
|
Subject: | Cumulative link model | expanding rolling window approach | firm-specific frailty | long-term issuer credit rating | maximum marginal likelihood | transition probability | Theorie | Theory | Kreditwürdigkeit | Credit rating | Kreditrisiko | Credit risk | Prognoseverfahren | Forecasting model | Wahrscheinlichkeitsrechnung | Probability theory |
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