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Dynamic Estimation of Credit Rating Transition Probabilities

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  • Arthur M. Berd

Abstract

We present a continuous-time maximum likelihood estimation methodology for credit rating transition probabilities, taking into account the presence of censored data. We perform rolling estimates of the transition matrices with exponential time weighting with varying horizons and discuss the underlying dynamics of transition generator matrices in the long-term and short-term estimation horizons.

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  • Arthur M. Berd, 2009. "Dynamic Estimation of Credit Rating Transition Probabilities," Papers 0912.4621, arXiv.org.
    • Handle: RePEc:arx:papers:0912.4621
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