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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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIP Publishing
2016
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| Subjects: | |
| Online Access: | http://eprints.sunway.edu.my/438/1/Pooi%20Ah%20Hin%204.pdf http://eprints.sunway.edu.my/438/ http://aip.scitation.org http://dx.doi.org/10.1063/1.4966097 |
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