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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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التفاصيل البيبلوغرافية
المؤلفون الرئيسيون: Gan, Chew Peng *, Pooi, Ah Hin *
التنسيق: مقال
اللغة:English
منشور في: AIP Publishing 2016
الموضوعات:
HF Commerce
HG Finance
الوصول للمادة أونلاين: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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id my.sunway.eprints.438
record_format eprints
spelling my.sunway.eprints.4382019-05-31T04:42:57Z http://eprints.sunway.edu.my/438/ Estimation of transition probabilities of credit ratings for several companies Gan, Chew Peng * Pooi, Ah Hin * HF Commerce HG Finance 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 vector of binary codes with a multivariate power-normal distribution. We next compute the multivariate conditional distribution for the binary codes of rating in the next quarter when the index of the company and binary codes of the company in the present quarter are given. From the conditional distribution, we compute the transition probabilities of the company’s credit ratings in two consecutive quarters. The resulting transition probabilities tally fairly well with the maximum likelihood estimates for the time-independent transition probabilities. AIP Publishing 2016 Article PeerReviewed text en http://eprints.sunway.edu.my/438/1/Pooi%20Ah%20Hin%204.pdf Gan, Chew Peng * and Pooi, Ah Hin * (2016) Estimation of transition probabilities of credit ratings for several companies. AIP Conference Proceedings, 1782 (050007). pp. 1-5. ISSN 1551 7616 http://aip.scitation.org http://dx.doi.org/10.1063/1.4966097
institution Sunway University
building Sunway Campus Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Sunway University
content_source Sunway Institutional Repository
url_provider http://eprints.sunway.edu.my/
language English
topic HF Commerce
HG Finance
spellingShingle HF Commerce
HG Finance
Gan, Chew Peng *
Pooi, Ah Hin *
Estimation of transition probabilities of credit ratings for several companies
description 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 vector of binary codes with a multivariate power-normal distribution. We next compute the multivariate conditional distribution for the binary codes of rating in the next quarter when the index of the company and binary codes of the company in the present quarter are given. From the conditional distribution, we compute the transition probabilities of the company’s credit ratings in two consecutive quarters. The resulting transition probabilities tally fairly well with the maximum likelihood estimates for the time-independent transition probabilities.
format Article
author Gan, Chew Peng *
Pooi, Ah Hin *
author_facet Gan, Chew Peng *
Pooi, Ah Hin *
author_sort Gan, Chew Peng *
title Estimation of transition probabilities of credit ratings for several companies
title_short Estimation of transition probabilities of credit ratings for several companies
title_full Estimation of transition probabilities of credit ratings for several companies
title_fullStr Estimation of transition probabilities of credit ratings for several companies
title_full_unstemmed Estimation of transition probabilities of credit ratings for several companies
title_sort estimation of transition probabilities of credit ratings for several companies
publisher AIP Publishing
publishDate 2016
url 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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score 13.251813

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