Choosing Markovian Credit Migration Matrices by Nonlinear Optimization
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References listed on IDEAS
- Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008.
"A Markov Model for the Term Structure of Credit Risk Spreads,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453,
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," The Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
- Robert B. Israel & Jeffrey S. Rosenthal & Jason Z. Wei, 2001. "Finding Generators for Markov Chains via Empirical Transition Matrices, with Applications to Credit Ratings," Mathematical Finance, Wiley Blackwell, vol. 11(2), pages 245-265, April.
- Yasunari Inamura, 2006. "Estimating Continuous Time Transition Matrices From Discretely Observed Data," Bank of Japan Working Paper Series 06-E-7, Bank of Japan.
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Cited by:
- Linda Möstel & Marius Pfeuffer & Matthias Fischer, 2020. "Statistical inference for Markov chains with applications to credit risk," Computational Statistics, Springer, vol. 35(4), pages 1659-1684, December.
- Tamás Kristóf, 2021. "Sovereign Default Forecasting in the Era of the COVID-19 Crisis," JRFM, MDPI, vol. 14(10), pages 1-24, October.
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Keywords
credit risk; embedding problem; transition matrix; generator matrix; homogenization; best approximation of the annual transition matrix; quasi-optimization of the generator; constraints; optimization; regularization;All these keywords.
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