Modeling rating transitions
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- scientific article; zbMATH DE number 2151381
- RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
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- Random effects model for credit rating transitions
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- scientific article; zbMATH DE number 2151380
Cites work
- scientific article; zbMATH DE number 3174032 (Why is no real title available?)
- scientific article; zbMATH DE number 3581363 (Why is no real title available?)
- 1 - α Equivariant Confidence Rules for Convex Alternatives are α/2-Level Tests-With Applications to the Multivariate Assessment of Bioequivalence
- A likelihood ratio test for stationarity of rating transitions
- Central limit theorems for local martingales
- Default estimation and expert information
- Estimating the Infinitesimal Generator of a Continuous Time, Finite State Markov Process
- Maximum-Likelihood Estimation of Parameters Subject to Restraints
Cited in
(25)- Maximum likelihood estimation for left-censored survival times in an additive hazard model
- A score-test on measurement errors in rating transition times
- The multi-state latent factor intensity model for credit rating transitions
- A double mover-stayer model for credit ratings
- Modeling rating transitions with instantaneous default
- A likelihood ratio test for stationarity of rating transitions
- Left-truncated health insurance claims data: theoretical review and empirical application
- Random effects model for credit rating transitions
- Nearest neighbor hazard estimation with left-truncated duration data
- Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings
- Estimation in the continuous time mover-stayer model with an application to bond ratings migration
- A mixture of beta-Dirichlet processes prior for Bayesian analysis of event history data
- Estimating rating transition probabilities with missing data
- Tracking of transition rates in Markov processes
- Kolmogorov–Smirnov‐type testing for the partial homogeneity of Markov processes—with application to credit risk
- A Bayesian simulation approach to inference on a multi-state latent factor intensity model
- Consistent estimation for discretely observed Markov jump processes with an absorbing state
- scientific article; zbMATH DE number 2151381 (Why is no real title available?)
- Statistical inference for Markov chains with applications to credit risk
- RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
- An extended likelihood framework for modelling discretely observed credit rating transitions
- Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
- On a multivariate Markov chain model for credit risk measurement
- On sovereign credit migration: a study of alternative estimators and rating dynamics
- Determinants of transition in artificially discrete Markov chains using microdata
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