Estimation of transition probabilities of credit ratings for several companies

This paper attempts to estimate the transition probabilities of credit ratings for a number of companies whose ratings have a dependence structure. Binary codes are used to represent the index of a company together with its ratings in the present and next quarters. We initially fit the data on the v...

Full description

Saved in:
Bibliographic Details
Main Authors: Gan, Chew Peng *, Pooi, Ah Hin *
Format: Article
Language:English
Published: AIP Publishing 2016
Subjects:
Online Access:http://eprints.sunway.edu.my/438/1/Pooi%20Ah%20Hin%204.pdf
http://eprints.sunway.edu.my/438/
http://aip.scitation.org
http://dx.doi.org/10.1063/1.4966097
Tags: Add Tag
No Tags, Be the first to tag this record!