Modeling rating transitions
DOI10.1016/J.JKSS.2011.05.001zbMATH Open1296.60206OpenAlexW2024675326MaRDI QIDQ743774FDOQ743774
Authors: Rafael Weißbach, Thomas Mollenhauer 
Publication date: 30 September 2014
Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jkss.2011.05.001
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Cited In (25)
- A mixture of beta-Dirichlet processes prior for Bayesian analysis of event history data
- A Bayesian simulation approach to inference on a multi-state latent factor intensity model
- Nearest neighbor hazard estimation with left-truncated duration data
- Estimating rating transition probabilities with missing data
- The multi-state latent factor intensity model for credit rating transitions
- Title not available (Why is that?)
- An extended likelihood framework for modelling discretely observed credit rating transitions
- Maximum likelihood estimation for left-censored survival times in an additive hazard model
- A likelihood ratio test for stationarity of rating transitions
- On sovereign credit migration: a study of alternative estimators and rating dynamics
- Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations
- RATING TRANSITIONS FORECASTING: A FILTERING APPROACH
- A score-test on measurement errors in rating transition times
- Determinants of transition in artificially discrete Markov chains using microdata
- 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
- Tracking of transition rates in Markov processes
- Statistical inference for Markov chains with applications to credit risk
- A double mover-stayer model for credit ratings
- Kolmogorov–Smirnov‐type testing for the partial homogeneity of Markov processes—with application to credit risk
- Consistent estimation for discretely observed Markov jump processes with an absorbing state
- Estimation in the continuous time mover-stayer model with an application to bond ratings migration
- On a multivariate Markov chain model for credit risk measurement
- Left-truncated health insurance claims data: theoretical review and empirical application
- Random effects model for credit rating transitions
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