Hidden Bibliographic Details
| Other authors / contributors: | International Monetary Fund. Monetary and Financial Systems Department, issuing body.
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| ISBN: | 1283517795
9781283517799
9781451907742
1451907745
1462390188
9781462390182
1452710805
9781452710808
9786613830241
6613830240
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| Notes: | Includes bibliographical references.
English.
Print version record.
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| Summary: | This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk applications where there is a paucity of data on changes in credit quality, especially at an aggregate level. Using a generalized least squares variant of the methodology, this paper provides estimates of transition matrices for the United States using both nonperforming loan data and interest coverage data. The methodology can be employed to condition the matrices on economic fundamentals and provide separate transition matrices for expansions and contractions, for example. The transition matrices can also be used as an input into other credit-risk models that use transition matrices as a basic building block.
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| Other form: | Print version: Jones, Matthew T. Estimating Markov transition matrices using proportions data. [Washington, D.C.] : International Monetary Fund, Monetary and Financial Systems Dept., 2005
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