Connecting rating migration matrices and the business cycle by means of generalized regression models

DOI10.1002/ASMB.2184MaRDI QIDQ4620155zbMATHOpenAlexFDO

Authors Marius Pfeuffer, Matthias Fischer

Publication date 8 February 2019

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.2184

zbMATH Keywords

proportional odds modelstress testingmultinomial modelgeneralized regressionlog-ratio transformationrating migration matrixsimplical regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Generalized linear models (logistic models) (62J12)

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