A simple Markov chain structure for the evolution of credit ratings

DOI10.1002/ASMB.685zbMATH Open1164.60059OpenAlexW4236217582WikidataQ58063365 ScholiaQ58063365MaRDI QIDQ3607869FDOQ3607869

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

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zbMATH Keywords

Markov chaingenerator matrixevolution of credit ratings

Mathematics Subject Classification ID

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

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
• Title not available (Why is that?)

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