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Transition Probability Matrix Methodology for Incremental Risk Charge
constructing transition TPMs the available historical data the merger of one-year Basel PD deriving a monthly
2011/3/23
As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit prod...
Dynamic Estimation of Credit Rating Transition Probabilities
Credit Rating Transition Probabilities
2010/11/3
We present a continuous-time maximum likelihood estimation methodology for credit rating
transition probabilities, taking into account the presence of censored data. We perform
rolling estimates of ...