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http://dspace.bits-pilani.ac.in:8080/jspui/handle/123456789/8832| Title: | Generator Estimation for Transition Matrices with Applications to Credit Ratings |
| Authors: | Rao, N.V.M. |
| Keywords: | Economics and Finance Transition Matrices Credit Ratings |
| Issue Date: | 2017 |
| Publisher: | SSRN |
| Abstract: | The major objective of this paper is to identify conditions under which a true generator can or cannot exist for an empirically observed transition matrix. In this study, an approach to finding a valid generator has been presented and the signs to look for, when trying to choose the ‘correct’ generator, have been forwarded. Conditions for the estimation of an approximate generator when a true generator does not exist have also been explored in this paper. Finally, we have given illustrations using transition matrices published by CRISIL |
| URI: | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3159871 http://dspace.bits-pilani.ac.in:8080/xmlui/handle/123456789/8832 |
| Appears in Collections: | Department of Economics and Finance |
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