Adjustment and Application of Transition Matrices in Credit Risk Models Export

@article{citeulike:5213033, abstract = {The paper gives a survey on recent developments on the use of numerical methods in rating based Credit Risk Models. Generally such models use transition matrices to describe probabilities from moving from one rating state to the other and to calculate Value-at-Risk figures for portfolios. We show how numerical methods can be used to find so-called true generator matrices in the continuous-time approach, adjust transition matrices or estimate confidence bounds for default and transition probabilities.}, author = {Trueck, Stefan and Emrah, Oezturkmen}, citeulike-article-id = {5213033}, citeulike-linkout-0 = {http://ssrn.com/abstract=675922}, citeulike-linkout-1 = {http://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID675922_code451628.pdf?abstractid=675922&mirid=1}, day = {30}, journal = {Social Science Research Network Working Paper Series}, keywords = {finmath, risk}, month = {March}, posted-at = {2009-07-21 01:27:57}, priority = {2}, publisher = {SSRN}, title = {Adjustment and Application of Transition Matrices in Credit Risk Models}, url = {http://ssrn.com/abstract=675922}, year = {2005} }

TY - JOUR ID - citeulike:5213033 L3 - citeulike-article-id:5213033 N2 - The paper gives a survey on recent developments on the use of numerical methods in rating based Credit Risk Models. Generally such models use transition matrices to describe probabilities from moving from one rating state to the other and to calculate Value-at-Risk figures for portfolios. We show how numerical methods can be used to find so-called true generator matrices in the continuous-time approach, adjust transition matrices or estimate confidence bounds for default and transition probabilities. JF - Social Science Research Network Working Paper Series TI - Adjustment and Application of Transition Matrices in Credit Risk Models PB - SSRN KW - finmath KW - risk AU - Trueck, Stefan AU - Emrah, Oezturkmen PY - 2005/March/30/ UR - http://ssrn.com/abstract=675922 ER -