Forecasting credit ratings with the varying-coefficient model

DOI10.1080/14697688.2012.738935zbMath1282.62227OpenAlexW2083396159MaRDI QIDQ5400665

Ruey-Ching Hwang

Publication date: 4 March 2014

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

Full work available at URL: https://doi.org/10.1080/14697688.2012.738935

zbMATH Keywords

varying-coefficient modelexpanding rolling window approachcredit rating forecastingdynamic ordered probit modelpredicted number of ratings

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Actuarial science and mathematical finance (91G99)

Related Items (2)

Machine learning in corporate credit rating assessment using the expanded audit report ⋮ Predicting credit ratings and transition probabilities: a simple cumulative link model with firm-specific frailty

Cites Work

• Statistical methods with varying coefficient models
• Optimal bandwidth selection in nonparametric regression function estimation
• On estimation and prediction for temporally correlated longitudinal data
• On multiple-class prediction of issuer credit ratings
• Marginal nonparametric kernel regression accounting for within-subject correlation
• Statistical Estimation in Generalized Multiparameter Likelihood Models
• Predicting issuer credit ratings using generalized estimating equations

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