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

DOI10.1016/J.EJOR.2016.03.017MaRDI QIDQ323448zbMATH OpenOpenAlexWikidataFDO

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

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

probitMarkov processeslogisticcumulative linkheavy-tailed

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3759377 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Bayesian Analysis of Binary and Polychotomous Response Data
• Bayesian variable and link determination for generalised linear models
• Distributions Generated by Perturbation of Symmetry with Emphasis on a Multivariate Skewt-Distribution
• Structural model of credit migration

Cited in

(3)

• Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty
• Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
• Assessing Markov property in multistate transition models with applications to credit risk modeling

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