Gonzalez, Mauricio; Pineau, Edouard; Estran, Remy - 2021
-hoc numerical method with no discretization error. A set of experiments on both simulated and real sovereign credit ratings …This paper presents a Continuous-Time Hidden Markov Model (CT-HMM) of debt issuers' credit quality dynamics. We observe … ratings published by several agencies (e.g., Standard & Poor's, Moody's, Fitch) for one or several issuers (e.g., countries …