01890cas a2200241 a 4500 AALejournalIMF003674 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451862386 1018-5941 BD-DhAAL BD-DhAAL Jones, Matthew. Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk / Matthew Jones. Washington, D.C. : International Monetary Fund, 2005. 1 online resource (27 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications where there is a paucity of data on changes in credit quality, especially at an aggregate level. Using a generalized least squares variant of the methodology, this paper provides estimates of transition matrices for the United States using both nonperforming loan data and interest coverage data. The methodology can be employed to condition the matrices on economic fundamentals and provide separate transition matrices for expansions and contractions, for example. The transition matrices can also be used as an input into other credit-risk models that use transition matrices as a basic building block. Mode of access: Internet IMF Working Papers; Working Paper ; No. 2005/219 Full text available on IMF http://elibrary.imf.org/view/journals/001/2005/219/001.2005.issue-219-en.xml IMF e-Library