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Estimation, Adjustment and Application of Transition Matrices in Credit Risk Models

  • Stefan Trück
  • Emrah Özturkmen

Abstract

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 probabilities from moving from one rating state to the other and to calculate Value-at-Risk figures for portfolios. We show how numerical methods can be used to find so-called true generator matrices in the continuous-time approach, adjust transition matrices or estimate confidence bounds for default and transition probabilities.

Keywords

Transition Matrix Generator Matrix Credit Risk Transition Matrice Martingale Measure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2004

Authors and Affiliations

  • Stefan Trück
    • 1
  • Emrah Özturkmen
    • 1
  1. 1.Institut für Statistik und Mathematische WirtschaftstheorieUniversität Karlsruhe (TH)KarlsruheGermany

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