Stochastic Migration Models with Application to Corporate Risk
In this article we explain how to use rating histories provided by the internal scoring systems of banks and rating agencies in order to predict the future risk of a set of borrowers. The method is developed following the steps suggested by the Basle Committee. To introduce both migration correlation and non-Markovian serial dependence, we consider rating histories with stochastic transition matrices. We develop the methodology to estimate both the number and dynamics of the factors influencing the transitions and we explain how to use the model for prediction. As an illustration, the ordered probit model with unobservable dynamic factor is estimated from French data on corporate risk. Copyright 2005, Oxford University Press.
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.
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.
Volume (Year): 3 (2005)
Issue (Month): 2 ()
|Contact details of provider:|| Postal: |
Fax: 01865 267 985
Web page: http://jfec.oxfordjournals.org/Email:
More information through EDIRC
|Order Information:||Web: http://www.oup.co.uk/journals|
When requesting a correction, please mention this item's handle: RePEc:oup:jfinec:v:3:y:2005:i:2:p:188-226. 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: (Oxford University Press)or (Christopher F. Baum)
If references are entirely missing, you can add them using this form.