Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings

被引：116

作者：

Israel, RB

Rosenthal, JS

Wei, JZ ^{[1
]}

机构：

[1] Univ Toronto, Div Management, Scarborough, ON M1C 1A4, Canada

[2] Univ British Columbia, Dept Math, Vancouver, BC V5Z 1M9, Canada

[3] Univ Toronto, Dept Stat, Toronto, ON, Canada

来源：

MATHEMATICAL FINANCE | 2001年 / 11卷 / 02期

关键词：

generators; Markov chains; Markov processes; transition matrix; credit rating;

D O I：

10.1111/1467-9965.00114

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper we identify conditions under which a true generator does or does not exist for an empirically observed Markov transition matrix. We show how to search for valid generators and choose the "correct" one that is the most compatible with bond rating behaviors. We also show how to obtain an approximate generator when a true generator does not exist. We give illustrations using credit rating transition matrices published by Moody's and by Standard and Poor's.

引用

页码：245 / 265

页数：21

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