This paper addresses the estimation of confidence sets for asset correlation for credit risk
assessment using rating transition data. Research on the estimation of asset correlation with …

Rating transition matrices for sovereigns are an important input to risk management of
portfolios of emerging market credit exposures. They are widely used both in credit portfolio …

Innovative transition matrix techniques are used to compare extreme credit risk for Australian
and US companies both prior to and during the global financial crisis (GFC). Transition …

Comparing Australia and the US both prior to and during the Global Financial Crisis (GFC),
using a dataset which includes more than six hundred companies, this paper modifies …

The need to have available robust measures to compare credit scoring (or rating) systems
has developed in importance in recent times, particularly so for large-sized banks seeking …

The current standardized approach for assessing credit risk under Basel III depends on
ratings assigned by credit rating agencies (CRAs). However, this approach presents three …

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 …

This PhD thesis is devoted to the estimation and examination of default probabilities (PDs)
within credit risk management. Assigning an appropriate PD is a widely employed strategy …

The objective of this paper is to develop a methodology to calculate expected credit loss
(ECL) using a transparent-modularised approach utilising three components: probability of …