Credit rating transition matrices form a little noticed yet vital part of many financial models. Based on historical data, transition matrices measure how quickly ratings can be expected to move from ...
Journal of Applied Probability, Vol. 41, Stochastic Methods and Their Applications (2004), pp. 347-360 (14 pages) This paper investigates the probabilistic behaviour of the eigenvalue of the empirical ...
The least-likelihood ratio test for detecting differences between matrices larger than 2 × 2 involves a formidable amount of calculation. This calculation burden will be increased if there is a series ...
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