Bank-sourced credit transition matrices: estimation and characteristics

DOI10.1016/j.ejor.2020.06.024zbMath1487.91150OpenAlexW3035809905MaRDI QIDQ2028787

Barbora Štěpánková

Publication date: 3 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.06.024

zbMATH Keywords

simulationcredit riskbankingtransition matricesrisk management

Mathematics Subject Classification ID

Credit risk (91G40)

Uses Software

• CreditMetrics

Cites Work

• Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings
• Spatial dependence in credit risk and its improvement in credit scoring
• On sovereign credit migration: a study of alternative estimators and rating dynamics
• Nonlinear valuation under credit, funding, and margins: existence, uniqueness, invariance, and disentanglement
• Simulation and the Monte Carlo Method
• Encyclopedia of Quantitative Risk Analysis and Assessment
• Analysis of default data using hidden Markov models
• Identification of hidden Markov chains governing dependent credit-rating migrations

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