Estimating Markov Transition Matrices Using Proportions Data: An Application to Credit Risk PDF Download
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Author: Matthew T. Jones
Publisher: INTERNATIONAL MONETARY FUND
ISBN: 9781451862386
Category :
Languages : en
Pages : 27
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Book Description
This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications where there is a paucity of data on changes in credit quality, especially at an aggregate level. Using a generalized least squares variant of the methodology, this paper provides estimates of transition matrices for the United States using both nonperforming loan data and interest coverage data. The methodology can be employed to condition the matrices on economic fundamentals and provide separate transition matrices for expansions and contractions, for example. The transition matrices can also be used as an input into other credit-risk models that use transition matrices as a basic building block.
Author: Matthew T. Jones
Publisher: INTERNATIONAL MONETARY FUND
ISBN: 9781451862386
Category :
Languages : en
Pages : 27
Get Book Here
Book Description
This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications where there is a paucity of data on changes in credit quality, especially at an aggregate level. Using a generalized least squares variant of the methodology, this paper provides estimates of transition matrices for the United States using both nonperforming loan data and interest coverage data. The methodology can be employed to condition the matrices on economic fundamentals and provide separate transition matrices for expansions and contractions, for example. The transition matrices can also be used as an input into other credit-risk models that use transition matrices as a basic building block.
Author: André Monteiro
Publisher:
ISBN:
Category :
Languages : en
Pages : 40
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Book Description
Author: Stefan Trück
Publisher:
ISBN:
Category :
Languages : en
Pages : 27
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Book Description
The paper gives a survey on recent developments on the use of numerical methods in rating based Credit Risk Models. Generally such models use transition matrices to describe probabilities from moving from one rating state to the other and to calculate Value-at-Risk figures for portfolios. We show how numerical methods can be used to find so-called true generator matrices in the continuous-time approach, adjust transition matrices or estimate confidence bounds for default and transition probabilities.
Author: George Christodoulakis
Publisher:
ISBN:
Category :
Languages : en
Pages : 17
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Book Description
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 16
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Book Description
Author: Dietmar Hömberg
Publisher: Springer
ISBN: 3642360629
Category : Computers
Languages : en
Pages : 580
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Book Description
This book is a collection of thoroughly refereed papers presented at the 25th IFIP TC 7 Conference on System Modeling and Optimization, held in Dresden, Germany, in September 2011. The 55 revised papers were carefully selected from numerous submissions. They are organized in the following topical sections: control of distributed parameter systems; stochastic optimization and control; stabilization, feedback, and model predictive control; flow control; shape and structural optimization; and applications and control of lumped parameter systems.
Author: Laurent El Ghaoui
Publisher:
ISBN:
Category :
Languages : en
Pages : 23
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Book Description
Author: Arpan Deyasi
Publisher: Allied Publishers
ISBN: 9385926004
Category : Computer engineering
Languages : en
Pages : 234
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Book Description
Computer and Communication Technology has already changed our way of life and the society in a dramatic manner within the last two decades, whereas new technologies have emerged for turning each device into more intelligent and communicable devices. The book covers electronics, telecommunication, computers technology, A.I., Cryptography, Information and Network Security, Nano-electronics, Microelectronics, process control and automation and renewable energy.
Author: Don Kulasiri
Publisher: Springer Nature
ISBN: 9811653518
Category : Science
Languages : en
Pages : 231
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Book Description
This book highlights the theory and practical applications of the chemical master equation (CME) approach for very large biochemical networks, which provides a powerful general framework for model building in a variety of biological networks. The aim of the book is to not only highlight advanced numerical solution methods for the CME, but also reveal their potential by means of practical examples. The case studies presented are mainly from biology; however, the applications from novel methods are discussed comprehensively, underlining the interdisciplinary approach in simulation and the potential of the chemical master equation approach for modelling bionetworks. The book is a valuable guide for researchers, graduate students, and professionals alike.
Author: Jeffrey R. Stokes
Publisher:
ISBN:
Category :
Languages : en
Pages : 21
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Book Description
The characterization of obligor ratings dynamics as a Markov chain is a common assumption in credit risk modeling. While a continuous time Markov chain is most appealing due to the potential for more robust transition probability estimates, the cost of continuously monitoring obligor ratings can be too high to justify the assumption in practice. For example, banks are more likely to update obligor ratings on a relatively infrequent (e.g. annual) basis making the discrete time Markov chain assumption more tenable in practice. Linking the discrete and continuous Markov chains is a generator matrix that allows for the determination of transition probabilities for any time horizon of interest. Known as the embeddability problem, empirical transition probability estimates for ratings processes rarely posses an exact generator. At least four methods have been proposed for approximating a generator given an empirical transition probability matrix. In this paper, another method is proposed, namely, an econometric model that is flexible, nonparametric, and does not rely on a previously estimated transition probability matrix. Rather, the transition probability matrix is estimated simultaneously with an approximate generator under an information theoretic criterion.
