Estimating Markov Transition Matrices Using Proportions Data; An Application to Credit Risk
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KeywordsCredit risk; Loans; United States; Markov transition matrix; nonperforming loans; interest coverage; probabilities; probability; probability model; interest coverage ratio; banking; Estimation;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-05 (All new papers)
- NEP-BEC-2006-03-05 (Business Economics)
- NEP-FMK-2006-03-05 (Financial Markets)
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