Statistical Surveillance of Structural Breaks in Credit Rating Dynamics
نویسندگان
چکیده
منابع مشابه
Credit rating dynamics in the presence of unknown structural breaks
In many credit risk and pricing applications, credit transition matrix is modeled by a constant transition probability or generator matrix for Markov processes. Based on empirical evidence, we model rating transition processes as piecewise homogeneous Markov chains with unobserved structural breaks. The proposed model provides explicit formulas for the posterior distribution of the time-varying...
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ژورنال
عنوان ژورنال: Entropy
سال: 2020
ISSN: 1099-4300
DOI: 10.3390/e22101072