Estimation of transition probabilities of credit ratings for several companies
This paper attempts to estimate the transition probabilities of credit ratings for a number of companies whose ratings have a dependence structure. Binary codes are used to represent the index of a company together with its ratings in the present and next quarters. We initially fit the data on the v...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AIP Publishing
2016
|
| Subjects: | |
| Online Access: | http://eprints.sunway.edu.my/468/ http://eprints.sunway.edu.my/468/1/Gan%20%282016%29%20Estimation%20of%20transition.pdf |