Modeling rating transitions
From MaRDI portal
Publication:743774
DOI10.1016/j.jkss.2011.05.001zbMath1296.60206OpenAlexW2024675326MaRDI QIDQ743774
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
Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02) Applications of continuous-time Markov processes on discrete state spaces (60J28)
Related Items (6)
Nearest neighbor hazard estimation with left-truncated duration data ⋮ Consistent estimation for discretely observed Markov jump processes with an absorbing state ⋮ A mixture of beta-Dirichlet processes prior for Bayesian analysis of event history data ⋮ Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings ⋮ Maximum likelihood estimation for left-censored survival times in an additive hazard model ⋮ A score-test on measurement errors in rating transition times
Cites Work
- Unnamed Item
- Unnamed Item
- A likelihood ratio test for stationarity of rating transitions
- Default Estimation and Expert Information
- Maximum-Likelihood Estimation of Parameters Subject to Restraints
- Central limit theorems for local martingales
- 1 - α Equivariant Confidence Rules for Convex Alternatives are α/2-Level Tests-With Applications to the Multivariate Assessment of Bioequivalence
- Estimating the Infinitesimal Generator of a Continuous Time, Finite State Markov Process
This page was built for publication: Modeling rating transitions