Matches in SemOpenAlex for { <https://semopenalex.org/work/W2893619643> ?p ?o ?g. }
Showing items 1 to 99 of
99
with 100 items per page.
- W2893619643 abstract "We present two methodologies on the estimation of rating transition probabilities within Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain using discrete (missing) data and derive a simpler expression for the Fisher information matrix, reducing the computational time needed for the Wald confidence interval by a factor of a half. We provide an efficient procedure for transferring such uncertainties from the generator matrix of the Markov chain to the corresponding rating migration probabilities and, crucially, default probabilities. For our second contribution, we assume access to the full (continuous) data set and propose a tractable and parsimonious self-exciting marked point processes model able to capture the non-Markovian effect of rating momentum. Compared to the Markov model, the non-Markov model yields higher probabilities of default in the investment grades, but also lower default probabilities in some speculative grades. Both findings agree with empirical observations and have clear practical implications. We illustrate all methods using data from Moody's proprietary corporate credit ratings data set. Implementations are available in the R package ctmcd." @default.
- W2893619643 created "2018-10-05" @default.
- W2893619643 creator A5018063481 @default.
- W2893619643 creator A5030783457 @default.
- W2893619643 creator A5081730811 @default.
- W2893619643 date "2018-09-26" @default.
- W2893619643 modified "2023-09-27" @default.
- W2893619643 title "Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations" @default.
- W2893619643 cites W112203061 @default.
- W2893619643 cites W1542184596 @default.
- W2893619643 cites W1823265520 @default.
- W2893619643 cites W1883186006 @default.
- W2893619643 cites W1968776642 @default.
- W2893619643 cites W2028387985 @default.
- W2893619643 cites W2030284903 @default.
- W2893619643 cites W2049500688 @default.
- W2893619643 cites W2052197092 @default.
- W2893619643 cites W2064758233 @default.
- W2893619643 cites W2071461214 @default.
- W2893619643 cites W2088917349 @default.
- W2893619643 cites W2089698443 @default.
- W2893619643 cites W2097104719 @default.
- W2893619643 cites W2102439862 @default.
- W2893619643 cites W2111266113 @default.
- W2893619643 cites W2121204026 @default.
- W2893619643 cites W2122759946 @default.
- W2893619643 cites W2123316294 @default.
- W2893619643 cites W2127388228 @default.
- W2893619643 cites W2136883754 @default.
- W2893619643 cites W2147114104 @default.
- W2893619643 cites W2156464932 @default.
- W2893619643 cites W2171442490 @default.
- W2893619643 cites W2252597062 @default.
- W2893619643 cites W2525528836 @default.
- W2893619643 cites W2591990536 @default.
- W2893619643 cites W2791194949 @default.
- W2893619643 cites W283259809 @default.
- W2893619643 cites W3021601205 @default.
- W2893619643 cites W3122680493 @default.
- W2893619643 cites W3125713423 @default.
- W2893619643 cites W31653604 @default.
- W2893619643 cites W74953171 @default.
- W2893619643 cites W2460853713 @default.
- W2893619643 cites W39607795 @default.
- W2893619643 hasPublicationYear "2018" @default.
- W2893619643 type Work @default.
- W2893619643 sameAs 2893619643 @default.
- W2893619643 citedByCount "0" @default.
- W2893619643 crossrefType "posted-content" @default.
- W2893619643 hasAuthorship W2893619643A5018063481 @default.
- W2893619643 hasAuthorship W2893619643A5030783457 @default.
- W2893619643 hasAuthorship W2893619643A5081730811 @default.
- W2893619643 hasConcept C105795698 @default.
- W2893619643 hasConcept C149782125 @default.
- W2893619643 hasConcept C159886148 @default.
- W2893619643 hasConcept C162118730 @default.
- W2893619643 hasConcept C162324750 @default.
- W2893619643 hasConcept C163836022 @default.
- W2893619643 hasConcept C205208723 @default.
- W2893619643 hasConcept C33923547 @default.
- W2893619643 hasConcept C41008148 @default.
- W2893619643 hasConcept C98763669 @default.
- W2893619643 hasConceptScore W2893619643C105795698 @default.
- W2893619643 hasConceptScore W2893619643C149782125 @default.
- W2893619643 hasConceptScore W2893619643C159886148 @default.
- W2893619643 hasConceptScore W2893619643C162118730 @default.
- W2893619643 hasConceptScore W2893619643C162324750 @default.
- W2893619643 hasConceptScore W2893619643C163836022 @default.
- W2893619643 hasConceptScore W2893619643C205208723 @default.
- W2893619643 hasConceptScore W2893619643C33923547 @default.
- W2893619643 hasConceptScore W2893619643C41008148 @default.
- W2893619643 hasConceptScore W2893619643C98763669 @default.
- W2893619643 hasLocation W28936196431 @default.
- W2893619643 hasOpenAccess W2893619643 @default.
- W2893619643 hasPrimaryLocation W28936196431 @default.
- W2893619643 hasRelatedWork W1531443903 @default.
- W2893619643 hasRelatedWork W1583575293 @default.
- W2893619643 hasRelatedWork W163000507 @default.
- W2893619643 hasRelatedWork W1994577219 @default.
- W2893619643 hasRelatedWork W2003187930 @default.
- W2893619643 hasRelatedWork W2004312533 @default.
- W2893619643 hasRelatedWork W2049663477 @default.
- W2893619643 hasRelatedWork W2058407433 @default.
- W2893619643 hasRelatedWork W2082565877 @default.
- W2893619643 hasRelatedWork W2140190730 @default.
- W2893619643 hasRelatedWork W2265776337 @default.
- W2893619643 hasRelatedWork W2341697225 @default.
- W2893619643 hasRelatedWork W2962907307 @default.
- W2893619643 hasRelatedWork W2971960700 @default.
- W2893619643 hasRelatedWork W3031673669 @default.
- W2893619643 hasRelatedWork W3083502961 @default.
- W2893619643 hasRelatedWork W3115660529 @default.
- W2893619643 hasRelatedWork W3122461787 @default.
- W2893619643 hasRelatedWork W3169737674 @default.
- W2893619643 hasRelatedWork W774742501 @default.
- W2893619643 isParatext "false" @default.
- W2893619643 isRetracted "false" @default.
- W2893619643 magId "2893619643" @default.
- W2893619643 workType "article" @default.