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

DOI10.1016/j.ejor.2016.03.017zbMath1348.91277WikidataQ58296048 ScholiaQ58296048MaRDI QIDQ323448

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

Markov processes; logistic; probit; cumulative link; heavy-tailed

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62J12: Generalized linear models (logistic models)

60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)

91G40: Credit risk