Ontology highlight
ABSTRACT:
SUBMITTER: Boreiko D
PROVIDER: S-EPMC5398736 | biostudies-literature | 2017
REPOSITORIES: biostudies-literature
Boreiko Dmitri D Kaniovski Serguei S Kaniovski Yuri Y Pflug Georg G
PloS one 20170420 4
Using migration data of a rating agency, this paper attempts to quantify the impact of macroeconomic conditions on credit-rating migrations. The migrations are modeled as a coupled Markov chain, where the macroeconomic factors are represented by unobserved tendency variables. In the simplest case, these binary random variables are static and credit-class-specific. A generalization treats tendency variables evolving as a time-homogeneous Markov chain. A more detailed analysis assumes a tendency v ...[more]