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Estimating Markov Transition Matrices Using Proportions Data

Estimating Markov Transition Matrices Using Proportions Data »

Source: Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk

Volume/Issue: 2005/219

Series: IMF Working Papers

Author(s): Matthew Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2005

ISBN: 9781451862386

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...

Estimating Markov Transition Matrices Using Proportions Data
			: An Application to Credit Risk

Estimating Markov Transition Matrices Using Proportions Data : An Application to Credit Risk »

Volume/Issue: 2005/219

Series: IMF Working Papers

Author(s): Matthew Jones

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2005

DOI: http://dx.doi.org/10.5089/9781451862386.001

ISBN: 9781451862386

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...