Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology ...

The most accurate estimation of transition probabilities for a multi-state model of health status requires longitudinal data. However, for many countries such data are usually not available. Instead, ...

Markov chains are frequently used in Operational Research to describe how a system changes over time, its behaviour being governed by its transition matrix. This paper describes a technique for ...

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 ...