Modeling rating transitions with instantaneous default

DOI10.1016/J.ECONLET.2016.05.013zbMath1398.91647OpenAlexW2400783983MaRDI QIDQ1670151

Rafael Weißbach, Fynn Strohecker

Publication date: 5 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2016.05.013

zbMATH Keywords

asymptotic normalityMarkov processmaximum-likelihoodrating

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Continuous-time Markov processes on discrete state spaces (60J27) Limit theorems in probability theory (60F99) Credit risk (91G40)

Cites Work

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• A likelihood ratio test for stationarity of rating transitions
• Bayesian analysis of multistate event history data: beta-Dirichlet process prior
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Central limit theorems for local martingales

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