Credit rating dynamics and Markov mixture models
نویسندگان
چکیده
منابع مشابه
Credit Rating Dynamics and Markov Mixture Models∗
Despite mounting evidence to the contrary, credit migration matrices, used in many credit risk and pricing applications, are typically assumed to be generated by a simple Markov process. Based on empirical evidence we propose a parsimonious model that is a mixture of (two) Markov chains, where the mixing is on the speed of movement among credit ratings. We estimate this model using credit ratin...
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ژورنال
عنوان ژورنال: Journal of Banking & Finance
سال: 2008
ISSN: 0378-4266
DOI: 10.1016/j.jbankfin.2007.09.013