A simple Markov chain structure for the evolution of credit ratings

被引:6
作者
Baillo, Amparo [1 ]
Fernandez, Jose Luis [1 ]
机构
[1] Univ Autonoma Madrid, E-28049 Madrid, Spain
关键词
Markov chains; rating transitions; credit derivatives;
D O I
10.1002/asmb.685
中图分类号
C93 [管理学]; O22 [运筹学];
学科分类号
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要
We focus on continuous Markov chains as a model to describe the evolution of credit ratings. In this work it is checked whether a simple, tridiagonal type of generator provides a good approximation to a general one. Three different tridiagonal approximations are proposed and their performance is checked against two generators, corresponding to a volatile and a stable period, respectively. Copyright (C) 2007 John Wiley & Sons, Ltd.
引用
收藏
页码:483 / 492
页数:10
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