Finding generators for Markov chains via empirical transition matrices, with applications to credit ratings

Mathematical Finance

Volumn 11, Issue 2, 2001, Pages 245-265

  Israel, Robert B ^a   Rosenthal, Jeffrey S ^b   Wei, Jason Z ^b  

^a UNIVERSITY OF BRITISH COLUMBIA   (Canada)

^b UNIVERSITY OF TORONTO   (Canada)

Author keywords

Credit rating; Generators; Markov chains; Markov processes; Transition matrix

Indexed keywords

EID: 0035592363     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9965.00114     Document Type: Article

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