Advanced Search
MyIDEAS: Login

Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings

Contents:

Author Info

  • Robert B. Israel
  • Jeffrey S. Rosenthal
  • Jason Z. Wei
Registered author(s):

    Abstract

    No abstract is available for this item.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/1467-9965.00114
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Mathematical Finance.

    Volume (Year): 11 (2001)
    Issue (Month): 2 ()
    Pages: 245-265

    as in new window
    Handle: RePEc:bla:mathfi:v:11:y:2001:i:2:p:245-265

    Contact details of provider:
    Web page: http://www.blackwellpublishing.com/journal.asp?ref=0960-1627

    Order Information:
    Web: http://www.blackwellpublishing.com/subs.asp?ref=0960-1627

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Kadam, Ashay & Lenk, Peter, 2008. "Bayesian inference for issuer heterogeneity in credit ratings migration," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2267-2274, October.
    2. Pietro Veronesi, . "Belief-dependent Utilities, Aversion to State-Uncertainty and Asset Prices,”," CRSP working papers 529, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
    3. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010. "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche 1042, CIRPEE.
    4. Yusuf Jafry & Til Schuermann, 2003. "Metrics for Comparing Credit Migration Matrices," Center for Financial Institutions Working Papers 03-09, Wharton School Center for Financial Institutions, University of Pennsylvania.
    5. Mark, Brian L. & Ephraim, Yariv, 2013. "An EM algorithm for continuous-time bivariate Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 504-517.
    6. Skoglund, Jimmy & Chen, Wei, 2010. "Calculating incremental risk charges: The effect of the liquidity horizon," MPRA Paper 31535, University Library of Munich, Germany, revised 10 Feb 2011.
    7. Zhou, Richard, 2010. "Counterparty Risk Subject To ATE," MPRA Paper 28067, University Library of Munich, Germany.
    8. Fuertes, Ana-Maria & Kalotychou, Elena, 2007. "On sovereign credit migration: A study of alternative estimators and rating dynamics," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3448-3469, April.
    9. Til Schuermann & Yusuf Jafry, 2003. "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers 03-08, Wharton School Center for Financial Institutions, University of Pennsylvania.
    10. Pedro Lencastre & Frank Raischel & Pedro G. Lind & Tim Rogers, 2014. "Are credit ratings time-homogeneous and Markov?," Papers 1403.8018, arXiv.org.
    11. Jafry, Yusuf & Schuermann, Til, 2004. "Measurement, estimation and comparison of credit migration matrices," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2603-2639, November.
    12. Albanese, Claudio & Chen, Oliver X., 2006. "Implied migration rates from credit barrier models," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 607-626, February.
    13. Parnes, Dror, 2007. "Time series patterns in credit ratings," Finance Research Letters, Elsevier, vol. 4(4), pages 217-226, December.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:11:y:2001:i:2:p:245-265. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.