A simple Markov chain structure for the evolution of credit ratings

DOI10.1002/asmb.685zbMath1164.60059OpenAlexW4236217582WikidataQ58063365 ScholiaQ58063365MaRDI QIDQ3607869

Amparo Baíllo, José Lúis Fernandez Perez

Publication date: 28 February 2009

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.685

zbMATH Keywords

Markov chaingenerator matrixevolution of credit ratings

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (2)

Markov chain model with catastrophe to determine mean time to default of credit risky assets ⋮ Rate of occurrence of failures (ROCOF) of higher-order for Markov processes: analysis, inference and application to financial credit ratings

Cites Work

• The jackknife and bootstrap
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