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q-fin.RM2022
Rating Triggers for Collateral-Inclusive XVA via Machine Learning and SDEs on Lie Groups
Kevin Kamm, Michelle Muniz
In this paper, we model the rating process of an entity by using a geometrical approach. We model rating transitions as an SDE on a Lie group. Specifically, we focus on calibrating…
q-fin.RM2022★ 3 cited
A novel approach to rating transition modelling via Machine Learning and SDEs on Lie groups
Kevin Kamm, Michelle Muniz
In this paper, we introduce a novel methodology to model rating transitions with a stochastic process. To introduce stochastic processes, whose values are valid rating matrices, we…