Estimation of transition probabilities of credit ratings for several companies

• Main Authors: Gan, Chew Peng *, Pooi, Ah Hin *
• Format: Article
• Language: English
• Published: AIP Publishing 2016
• Subjects: HF Commerce; HG Finance
• 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

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...