Confidence sets for continuous-time rating

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dc.contributor.author	Christensen, Jens
dc.contributor.author	Hansen, Ernst
dc.contributor.author	Lando, David
dc.date.accessioned	2010-07-02
dc.date.accessioned	2010-07-02T12:50:32Z
dc.date.available	2010-07-02T12:50:32Z
dc.date.issued	2010-07-02
dc.identifier.uri	http://hdl.handle.net/10398/8139
dc.description.abstract	This paper addresses the estimation of default probabilities and associated confidence sets with special focus on rare events. Research on rating transition data has documented a tendency for recently downgraded issuers to be at an increased risk of experiencing further downgrades compared to issuers that have held the same rating for a longer period of time. To capture this non-Markov effect we introduce a continuous-time hidden Markov chain model in which downgrades firms enter into a hidden, ’excited’ state. Using data from Moody’s we estimate the parameters of the model, and conclude that both default probabilities and confidence sets are strongly influenced by the introduction of hidden excited states.	en_US
dc.format.extent	38 s.	en_US
dc.language	eng	en_US
dc.publisher	Copenhagen Business School	en_US
dc.title	Confidence sets for continuous-time rating	en_US
dc.type	wp	en_US
dc.accessionstatus	modt10jul02 siso	en_US
dc.contributor.corporation	Copenhagen Business School. CBS	en_US
dc.contributor.department	Institut for Finansiering	en_US
dc.contributor.departmentshort	FI	en_US
dc.contributor.departmentuk	Department of Finance	en_US
dc.contributor.departmentukshort	FI	en_US
dc.idnumber	x656444400	en_US
dc.publisher.city	Frederiksberg	en_US
dc.publisher.year	2002	en_US