Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk /
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 aggreg...
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| 格式: | 杂志 |
| 语言: | English |
| 出版: |
Washington, D.C. :
International Monetary Fund,
2005.
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| 丛编: | IMF Working Papers; Working Paper ;
No. 2005/219 |
| 在线阅读: | Full text available on IMF |