As part of Basel II’s incremental risk charge (IRC) methodology, this paper summarizes our exten-sive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective is to create monthly or quarterly TPMs with pre-defined sectors and ratings that are consistent with the bank’s Basel PDs. Constructing a TPM is not a unique process. We highlight various aspects of three types of uncertainties embedded in different construction methods: 1) the available historical data and the bank’s rating philosophy; 2) the merger of one-year Basel PD and the chosen Moody’s TPMs; and 3) deriving a monthly or quarterly TPM when the generator matrix does not exist. Given the fact that T...
Innovative transition matrix techniques are used to compare extreme credit risk for Australian and U...
Transition matrices, containing credit risk information in the form of ratings based on discrete obs...
In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Ma...
As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive...
AbstractIncrease of credit derivative transaction volumes and credit related exposures in trading bo...
Migration matrices are widely used in various areas of risk management. In credit risk management an...
The aim of the thesis is to bring new insights into banks' internal credit risk estimates and their ...
Abstract In 2009 the Basel Committee on Banking Supervision released the final guidelines for comput...
AbstractAlthough the corporate credit risk literature includes many studies modelling the change in ...
Transition matrices show the probabilities of credit rating migrations for a pool of ratings within ...
The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in respon...
In the last decade rating-based models have become very popular in credit risk management. These sys...
This study presents an alternative way of estimating credit transition matrices using a hazard funct...
This study presents an alternative way of estimating credit transition matrices using a hazard funct...
Although the corporate credit risk literature has many studies modelling the change in the credit ri...
Innovative transition matrix techniques are used to compare extreme credit risk for Australian and U...
Transition matrices, containing credit risk information in the form of ratings based on discrete obs...
In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Ma...
As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive...
AbstractIncrease of credit derivative transaction volumes and credit related exposures in trading bo...
Migration matrices are widely used in various areas of risk management. In credit risk management an...
The aim of the thesis is to bring new insights into banks' internal credit risk estimates and their ...
Abstract In 2009 the Basel Committee on Banking Supervision released the final guidelines for comput...
AbstractAlthough the corporate credit risk literature includes many studies modelling the change in ...
Transition matrices show the probabilities of credit rating migrations for a pool of ratings within ...
The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in respon...
In the last decade rating-based models have become very popular in credit risk management. These sys...
This study presents an alternative way of estimating credit transition matrices using a hazard funct...
This study presents an alternative way of estimating credit transition matrices using a hazard funct...
Although the corporate credit risk literature has many studies modelling the change in the credit ri...
Innovative transition matrix techniques are used to compare extreme credit risk for Australian and U...
Transition matrices, containing credit risk information in the form of ratings based on discrete obs...
In this paper, we use credibility theory to estimate credit transition matrices in a multivariate Ma...