A simple Markov chain structure for the evolution of credit ratings

DOI10.1002/ASMB.685MaRDI QIDQ3607869zbMATH OpenOpenAlexWikidataFDO

Authors Amparo Baíllo, J. L. Fernández

Publication date 28 February 2009

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.685

zbMATH Keywords

Markov chaingenerator matrixevolution of credit ratings

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27)

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Cites work

• Probability and random processes.
• The jackknife and bootstrap

Cited in

(15)

• Monotonicities in a Markov Chain Model for Valuing Corporate Bonds Subject to Credit Risk
• On the evolution and asymptotic analysis of open Markov populations: application to consumption credit
• A flexible Markov chain approach for multivariate credit ratings
• An extended likelihood framework for modelling discretely observed credit rating transitions
• Markov chain model with catastrophe to determine mean time to default of credit risky assets
• A copula-based Markov reward approach to the credit spread in the European Union
• Evolutionary estimation of a coupled Markov chain credit risk model
• Robust and consistent estimation of generators in credit risk
• Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings
• Modeling rating transitions with instantaneous default
• Statistical inference for Markov chains with applications to credit risk
• Time to default and other sensitivities of credit ratings
• Modeling of Dependent Credit Rating Transitions Governed by Industry-Specific Markovian Matrices
• Testing the Adequacy of Markov Chain and Mover-Stayer Models as Representations of Credit Behavior
• scientific article; zbMATH DE number 5521295 (Why is no real title available?)

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