The credit rating process and estimation of transition probabilities: A Bayesian approach

Journal of Empirical Finance

Volumn 16, Issue 2, 2009, Pages 216-234

  Stefanescu, Catalina ^a   Tunaru, Radu ^b   Turnbull, Stuart ^c  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

^b CITY UNIVERSITY   (United Kingdom)

^c UNIVERSITY OF HOUSTON   (United States)

Author keywords

Bayesian inference; Latent factors; Markov Chain Monte Carlo; Ratings transitions

Indexed keywords

EID: 59249102888     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2008.10.006     Document Type: Article

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