Predicting issuer credit ratings using generalized estimating equations

DOI10.1080/14697688.2011.593542zbMath1280.91182OpenAlexW1994140585MaRDI QIDQ5746771

Ruey-Ching Hwang

Publication date: 8 February 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2011.593542

zbMATH Keywords

generalized estimating equationsindependence estimating equationsexpanding rolling window approachdynamic ordered probit modelcredit risk forecasting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

Related Items (2)

Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty ⋮ Forecasting credit ratings with the varying-coefficient model

Cites Work

• Longitudinal data analysis using generalized linear models
• Statistical methods with varying coefficient models
• On estimation and prediction for temporally correlated longitudinal data
• On multiple-class prediction of issuer credit ratings
• Generalized Estimating Equations

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