Post by Sapphire Capital on Aug 14, 2008 4:11:18 GMT 4
A Note on Fitting Markov Operator Credit Risk Models
Harley Thompson
Commonwealth Bank of Australia
Jonathan Harris
Stanford University; Commonwealth Bank of Australia
June 20, 2008
Abstract:
We estimate a Markov operator credit migration model in which credit conditions vary through time in response to underlying macroeconomic factors. Emphasis is given to practical issues arising when fitting the model to a portfolio of risk rated credits, including the treatment of incomplete data, accounting for portfolio regeneration and aggregation issues.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1153306_code1052588.pdf?abstractid=1148584&mirid=3
Harley Thompson
Commonwealth Bank of Australia
Jonathan Harris
Stanford University; Commonwealth Bank of Australia
June 20, 2008
Abstract:
We estimate a Markov operator credit migration model in which credit conditions vary through time in response to underlying macroeconomic factors. Emphasis is given to practical issues arising when fitting the model to a portfolio of risk rated credits, including the treatment of incomplete data, accounting for portfolio regeneration and aggregation issues.
papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1153306_code1052588.pdf?abstractid=1148584&mirid=3