An extended likelihood framework for modelling discretely observed credit rating transitions

DOI10.1080/14697688.2018.1465196zbMath1407.91265OpenAlexW2806325488MaRDI QIDQ4628037

Matthias Fischer, Linda Möstel, Marius Pfeuffer

Publication date: 6 March 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1465196

zbMATH Keywords

EM algorithmsimulated annealingembedding problemMarkov chaingenetic algorithmgenerator matrix

Mathematics Subject Classification ID

Credit risk (91G40) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Applications of continuous-time Markov processes on discrete state spaces (60J28)

Related Items (3)

Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty ⋮ On the estimation of partially observed continuous-time Markov chains ⋮ Statistical inference for Markov chains with applications to credit risk

Uses Software

• ctmcd

Cites Work

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