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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AIP Publishing
2016
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オンライン・アクセス: | 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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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 |
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HF Commerce HG Finance Gan, Chew Peng * Pooi, Ah Hin * Estimation of transition probabilities of credit ratings for several companies |
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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 |
_version_ |
1644324320956121088 |
score |
13.250246 |