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

DOI10.1002/ASMB.2184zbMATH Open1411.62354OpenAlexW2463332266MaRDI QIDQ4620155FDOQ4620155

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

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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)

Cited In (4)

• Forecasting credit ratings with the varying-coefficient model
• Incorporating lifecycle and environment in loan-level forecasts and stress tests
• A novel credit rating migration modeling approach using macroeconomic indicators
• Credit risk migration rates modeling as open systems: a micro-simulation approach

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