Dynamic Estimation of Credit Rating Transition Probabilities

Details Dynamic Estimation of Credit Rating Transition Probabilities Dynamic Estimation of Credit Rating Transition Probabilities

2009-12-23

arxiv.org/abs/0912.4621v1

Economy

Quantitative Finance

Statistical Finance

28 pages, 23 figures

Scientific paper

We present a continuous-time maximum likelihood estimation methodology for credit rating transition probabilities, taking into account the presence of censored data. We perform rolling estimates of the transition matrices with exponential time weighting with varying horizons and discuss the underlying dynamics of transition generator matrices in the long-term and short-term estimation horizons.

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