Forecasting credit ratings with the varying-coefficient model

DOI10.1080/14697688.2012.738935zbMath1282.62227MaRDI QIDQ5400665

Ruey-Ching Hwang

Publication date: 4 March 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.738935

zbMATH Keywords

varying-coefficient model; expanding rolling window approach; credit rating forecasting; dynamic ordered probit model; predicted number of ratings

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

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

91G70: Statistical methods; risk measures

91G99: Actuarial science and mathematical finance

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Machine learning in corporate credit rating assessment using the expanded audit report, Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty

Cites Work

• Statistical methods with varying coefficient models
• Optimal bandwidth selection in nonparametric regression function estimation
• On estimation and prediction for temporally correlated longitudinal data
• On multiple-class prediction of issuer credit ratings
• Marginal nonparametric kernel regression accounting for within-subject correlation
• Statistical Estimation in Generalized Multiparameter Likelihood Models
• Predicting issuer credit ratings using generalized estimating equations