کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
478938 1446184 2008 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Random effects model for credit rating transitions
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر علوم کامپیوتر (عمومی)
پیش نمایش صفحه اول مقاله
Random effects model for credit rating transitions
چکیده انگلیسی

This paper proposes a random effects multinomial regression model to estimate transition probabilities of credit ratings. Unlike the previous studies on the rating transition, we applied a random effects model, which accommodates not only the environmental characteristics of the exposures of a rating but also the uncertainty not explained by such factors. The rating category specific factors such as retained earning and market equity are included in our proposed model. The random effects model provides less diagonally dominant matrix, where the transition probabilities are over-dispersed from the diagonal elements. Our study is expected to incorporate potential chances of rating transitions due to extra random variations.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: European Journal of Operational Research - Volume 184, Issue 2, 16 January 2008, Pages 561–573
نویسندگان
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