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...
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Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
AIP Publishing
2016
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Subjects: | |
Online Access: | http://eprints.sunway.edu.my/468/1/Gan%20%282016%29%20Estimation%20of%20transition.pdf http://eprints.sunway.edu.my/468/ http://dx.doi.org/10.1063/1.4966097 |
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