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Adjustment and Application of Transition Macrices in Credit Risk Models
Company: Handbook: Computational and Numerical Methods in Finance
Year Of Publication: 2004
Month Of Publication: January
Download Count: 735
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Comment Num: 0
Language: EN
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Who Can Read: Free
Date: 9-12-2004
Publisher: Administrator
Summary
The paper gives a survey on recent developments on the use of nu-merical methods in rating based Credit Risk Models. Generally such modelsuse transition matrices to describe probabilities from moving from one ratingstate to the other and to calculate Value-at-Risk figures for portfolios. Weshow how numerical methods can be used to find so-called true generator ma-trices in the continuous-time approach, adjust transition matrices or estimateconfidence bounds for default and transition probabilities.
Author(s)
Trueck, Stefan Sign in to follow this author
Ozturkmen, Emrah Sign in to follow this author
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