2 papers
q-fin.RM2018
Capturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations
Marius Pfeuffer, Goncalo dos Reis, Greig smith
We present two methodologies on the estimation of rating transition probabilities within Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain using di…
stat.AP2017
Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression
Matthias Fischer, Daniel Kraus, Marius Pfeuffer +1
Measuring interdependence between probabilities of default (PDs) in different industry sectors of an economy plays a crucial role in financial stress testing. Thereby, regression a…