This paper investigates measurement error biases in estimated poverty transition matrices. We compare transition matrices based on survey expenditure data to ...
Credit rating transition matrices form a little noticed yet vital part of many financial models. Based on historical data, transition matrices measure how quickly ratings can be expected to move from ...
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 ...
https://doi.org/10.4169/amer.math.monthly.121.05.415 https://www.jstor.org/stable/10.4169/amer.math.monthly.121.05.415 The Monthly publishes articles, as well as ...
A credit-sensitive note (CSN) is a corporate coupon-bearing bond whose floating coupon rates link to the credit rating of the corporation. Acharya, Das and Sundaram proposed a model to price them, but ...
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