Bladt, Mogens; SØrensen, Michael - In: Quantitative Finance 9 (2009) 2, pp. 147-160
The paper demonstrates how discrete time credit rating data (e.g. annual observations) can be analysed by means of a continuous-time Markov model. Two methods for estimating the transition intensities are given: the EM algorithm and an MCMC approach. The estimated transition intensities can be...