Robust and consistent estimation of generators in credit risk
Author:
Affiliation:
1. School of Mathematics, Maxwell Institute for Mathematical Sciences, The University of Edinburgh, Edinburgh, UK.
2. Centro de Matemática e Aplicações (CMA), FCT, UNL, Lisbon, Portugal.
Funder
Engineering and Physical Sciences Research Council
Fundação para a Ciência e a Tecnologia
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://tandfonline.com/doi/pdf/10.1080/14697688.2017.1383627
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1. Ratings migration and the business cycle, with application to credit portfolio stress testing
2. DISTRIBUTIONS OF REWARD FUNCTIONS ON CONTINUOUS-TIME MARKOV CHAINS
3. Statistical inference for discretely observed Markov jump processes
4. Efficient estimation of transition rates between credit ratings from observations at discrete time points
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