Generator Estimation for Transition Matrices with Applications to Credit Ratings

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dc.contributor.authorRao, N.V.M.
dc.date.accessioned2023-01-30T06:39:09Z
dc.date.available2023-01-30T06:39:09Z
dc.date.issued2017
dc.description.abstractThe 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 CRISILen_US
dc.identifier.urihttps://papers.ssrn.com/sol3/papers.cfm?abstract_id=3159871
dc.identifier.urihttp://dspace.bits-pilani.ac.in:8080/xmlui/handle/123456789/8832
dc.language.isoenen_US
dc.publisherSSRNen_US
dc.subjectEconomics and Financeen_US
dc.subjectTransition Matricesen_US
dc.subjectCredit Ratingsen_US
dc.titleGenerator Estimation for Transition Matrices with Applications to Credit Ratingsen_US
dc.typeArticleen_US

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