Estimation of transition probabilities of credit ratings for several companies

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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...

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Bibliographic Details
Main Authors:	Gan, Chew Peng , Pooi, Ah Hin
Format:	Article
Language:	English
Published:	AIP Publishing 2016
Subjects:	HA Statistics HF Commerce
Online Access:	http://eprints.sunway.edu.my/468/ http://eprints.sunway.edu.my/468/1/Gan%20%282016%29%20Estimation%20of%20transition.pdf

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