Staff View: Estimation of transition probabilities of credit ratings for several companies

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...

Full description

Saved in:

Bibliographic Details
Main Authors:	Gan, Chew Peng , Pooi, Ah Hin
Format:	Article
Language:	English
Published:	AIP Publishing 2016
Subjects:	HF Commerce HG Finance
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
Tags:	Add Tag No Tags, Be the first to tag this record!

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
_version_	1644324320956121088
score	13.211869

Estimation of transition probabilities of credit ratings for several companies

Similar Items