Dynamic Estimation of Credit Rating Transition Probabilities

Arthur M. Berd

Papers from arXiv.org

Abstract: We present a continuous-time maximum likelihood estimation methodology for credit rating transition probabilities, taking into account the presence of censored data. We perform rolling estimates of the transition matrices with exponential time weighting with varying horizons and discuss the underlying dynamics of transition generator matrices in the long-term and short-term estimation horizons.

Date: 2009-12
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:0912.4621

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