Multiple hypotheses testing of transition matrices

Victor de la Pena, Adrian Hernandez-del-Valle and Ricardo Rivera

Journal of Risk Model Validation

Abstract: ABSTRACT We propose a multiple hypotheses test of equality between transition matrices and apply our procedure to solve the problem of “accuracy” of credit rating transition matrices.

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Persistent link: https://EconPapers.repec.org/RePEc:rsk:journ5:2161278

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