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

DOI10.1080/14697688.2022.2125820zbMath1518.91296MaRDI QIDQ6101027

Ruey-Ching Hwang, Yi-Chi Chen, Chih-Kang Chu

Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

zbMATH Keywords

transition probabilitycumulative link modelmaximum marginal likelihoodexpanding rolling window approachfirm-specific frailtylong-term issuer credit rating

Mathematics Subject Classification ID

Credit risk (91G40)

Cites Work

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