Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models

DOI10.1016/j.ejor.2016.03.017zbMath1348.91277OpenAlexW2335278644WikidataQ58296048 ScholiaQ58296048MaRDI QIDQ323448

Matteo Buzzacchi, Risa Nagao, Jonathan J. Forster, Agus Sudjianto

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2016.03.017

zbMATH Keywords

Markov processeslogisticprobitcumulative linkheavy-tailed

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Generalized linear models (logistic models) (62J12) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

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Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty

Cites Work

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