16 citations · 34 across the 6 of their papers we have counts for
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q-fin.RM2018★ 3 cited
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…
q-fin.RM2017★ 16 cited
Robust and Consistent Estimation of Generators in Credit Risk
Greig Smith, Goncalo dos Reis
Bond rating Transition Probability Matrices (TPMs) are built over a one-year time-frame and for many practical purposes, like the assessment of risk in portfolios or the computatio…