… We estimate the mixture model with corporate credit rating histories from Standard & Poor’s …
Markov and two regime mixture models at the whole rating level meaning that rating …

… Markov property is not appropriate for credit rating dynamics. The purpose of this article is to
address the non-Markov behavior of the rating dynamics… a non-Markov model, which is a non…

… by Student’s-t mixture models with the same number of … independence property of the
hidden Markov chain (Cappé, … postulating models capable of capturing temporal dynamics …

… This behavior of the ratings can be modeled by MRGP. The originality of this … review on
non-Markovian credit rating dynamics. This survey presents non-Markov credit rating models in …

… structural break in rating transitions can be captured by the proposed model. We … -Markovian
behaviors in empirical studies. From this perspective, our model extends the mixture model …

… With such a mixture, the model turns out to be non-Markov and … credit rating but also on
past rating history. Parameters of the mixture model can be estimated from credit rating history …

… We develop a model for credit rating migration that accounts for the … the rating is modelled
as a time-homogeneous Markov chain. While the rating process itself possesses the Markov …

… chain could result unambiguously from a continuous time Markov chain rating migration …
continuous time Markov chain based mixture models to ratings data. The discrete time model of …

… In this paper, a generalization involving a Markovian dynamics of tendency variables is
considered for each of the known coupling schemes. The corresponding maximum likelihood …

… to a homogeneous Markov chain. It implies that the credit rating dynamics are subject to the
… Secondly, we observe that the second tier and non-investment credit ratings in economic …