Series: IMF Working Papers
Author(s): Matthew Jones
Publisher: INTERNATIONAL MONETARY FUND
Publication Date: 01 November 2005
Keywords: Markov transition matrix, nonperforming loans, interest coverage, probabilities, probability, probability model, interest coverage ratio, banking, Estimation,
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 applications...