Risk management is an important practice in the banking industry. In this paper we develop
a new methodology to estimate and predict the probability of default (PD) based on the …

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 …

In banking practice, rating transition matrices have become the standard approach of
deriving multi-year probabilities of default (PDs) from one-year PDs, the latter normally being …

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 …

In many credit risk and pricing applications, credit transition matrix is modeled by a constant
transition probability or generator matrix for Markov processes. Based on empirical …

A common problem in credit risk management is the estimation of probabilities of rare
default events in high investment grades, when sufficient default data are not available. In …

This paper presents a model for the determination and forecast of the number of defaults
and credit changes by estimating a reduced-form ordered regression model with a large …

In the last decade rating-based models have become very popular in credit risk
management. These systems use the rating of a company as the decisive variable to …

The distribution of ratings changes plays a crucial role in many credit risk models. As is well-
known, these distributions vary across time and different issuer types. Ignoring such …

This study presents an alternative method of estimating credit quality transition matrices
using a hazard function model. The model is useful both for testing the validity of the …