Structural model of credit migration

DOI10.1016/j.csda.2010.10.015zbMath1254.91741OpenAlexW2004725721MaRDI QIDQ1927128

Jing Zhao, Hoi Ying Wong, Ngai Hang Chan

Publication date: 30 December 2012

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2010.10.015

zbMATH Keywords

credit risktransition probabilitiesrisk perceptionexcursion timestructural modelcredit migration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Brownian motion (60J65) Credit risk (91G40)

Related Items (3)

Modelling credit grade migration in large portfolios using cumulative \(t\)-link transition models ⋮ Risk measurement for portfolio credit risk based on a mixed Poisson model ⋮ A new model and its numerical method to identify multi credit migration boundaries

Uses Software

• bootstrap

Cites Work

• Unnamed Item
• Exact and approximate algorithms for variable selection in linear discriminant analysis
• Early warning systems for sovereign debt crises: The role of heterogeneity
• On sovereign credit migration: a study of alternative estimators and rating dynamics
• Random effects model for credit rating transitions
• Estimating default barriers from market information
• Brownian Excursions and Parisian Barrier Options
• MAXIMUM LIKELIHOOD ESTIMATION USING PRICE DATA OF THE DERIVATIVE CONTRACT

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