Despite mounting evidence to the contrary, credit migration matrices, used in many credit risk and pricing applications, are typically assumed to be generated by a simple Markov process. Based on empirical evidence, we propose a parsimonious model that is a mixture of (two) Markov chains, where...

We give a counterexample to the Strong Bang-Bang Conjecture according to which any 3 - 3 embeddable matrix can be expressed as a product of six Poisson matrices. We exhibit a 3 - 3 embeddable matrix which can be expressed as a product of seven but not six Poisson matrices. We show that an...