IDEAS home Printed from https://ideas.repec.org/h/spr/sprchp/978-0-8176-8180-7_11.html
   My bibliography  Save this book chapter

Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models

In: Handbook of Computational and Numerical Methods in Finance

Author

Listed:
  • Stefan Trück

    (Universität Karlsruhe (TH), Institut für Statistik und Mathematische Wirtschaftstheorie)

  • Emrah Özturkmen

    (Universität Karlsruhe (TH), Institut für Statistik und Mathematische Wirtschaftstheorie)

Abstract

The paper gives a survey on recent developments on the use of numerical methods in rating based Credit Risk Models. Generally such models use transition matrices to describe probabilities from moving from one rating state to the other and to calculate Value-at-Risk figures for portfolios. We show how numerical methods can be used to find so-called true generator matrices in the continuous-time approach, adjust transition matrices or estimate confidence bounds for default and transition probabilities.

Suggested Citation

  • Stefan Trück & Emrah Özturkmen, 2004. "Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models," Springer Books, in: Svetlozar T. Rachev (ed.), Handbook of Computational and Numerical Methods in Finance, chapter 11, pages 373-402, Springer.
    • Handle: RePEc:spr:sprchp:978-0-8176-8180-7_11
    DOI: 10.1007/978-0-8176-8180-7_11
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a
    for a similarly titled item that would be available.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sprchp:978-0-8176-8180-7_11. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.