Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk /

This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications where there is a paucity of data on changes in credit quality, especially at an aggreg...

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Xehetasun bibliografikoak
Egile nagusia: Jones, Matthew
Formatua: Aldizkaria
Hizkuntza:English
Argitaratua: Washington, D.C. : International Monetary Fund, 2005.
Saila:IMF Working Papers; Working Paper ; No. 2005/219
Sarrera elektronikoa:Full text available on IMF