We develop a model for credit rating migration that accounts for the impact of economic state
fluctuations on default probabilities. The joint process for the economic state and the rating is …

We introduce a specific duration model to analyze the prediction of the credit rating
migration. We consider hazard rate processes based on multi‐state autoregressive …

It is well known that credit rating transitions exhibit a serial correlation, also known as rating
drift, which is clearly confirmed by this analysis. Furthermore, it reveals that the credit rating …

Despite mounting evidence to the contrary, credit migration matrices, used in many credit
risk and pricing applications, are typically assumed to be generated by a simple Markov …

This study examines an alternative approach for simulating credit ratings migration by
associating firm's survivability and transitivity to a valuable economic parameter; the market …

In this chapter, we model credit rating migrations and default events, with intensity, in a
Markov chain with a transformation state matrix, in discrete and continuous time. A …

We present two methodologies on the estimation of rating transition probabilities within
Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain …

This paper presents a credit migration model that aims to consistently capture the point-in-
time dynamics of the credit worthiness of debt issuers and their obligations, and a calibration …

We propose several parsimonious models for higher order Markov chains, applied to the
study of municipal rating migrations in credit risk. In full parameterized Markov chain models …

In this thesis I develop a model for describing the dynamic behavior of Credit Migration
Matrices under a Point-in-time Rating Philosophy. Characteristics of the yearly Migration …