A nonlinear inversion procedure for modeling the effects of economic factors on credit risk migration

被引：0
|
作者：
Stokes, Jeffrey R. [1 ]
机构：
[1] Univ Nebraska Lincoln, 308B Filley Hall,1625 Arbor Dr, Lincoln, NE 68583 USA
来源：
REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING | 2023年 / 61卷 / 03期
关键词：
CECL; Credit risk; Ratings migration; Kullback-Leibler divergence; Markov chain; Stress testing; z-score; INFORMATION-THEORY; MARKOV MODEL; PROBABILITIES;
D O I：
10.1007/s11156-023-01170-3
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
Ratings migration are most often modeled as a time homogeneous first-order Markov chain. A novel nonlinear inversion procedure is presented for recovering a ratings migration matrix that is indirectly linked to economic factors through a single moment consistency equation. The procedure is comparable to the approach suggested by Belkin et al. (CreditMetrics Monitor 1(2):46-56, 1998) but represents an important nonparametric alternative that may be easier to implement in practice. In addition to having merit for portfolio stress testing, the empirical application of the procedure is demonstrated for the credit quality dynamics portion of CECL methodology.
引用
收藏
页码：855 / 878
页数：24
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