Confidence sets for continuous-time rating

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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


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