most citedCapturing Model Risk and Rating Momentum in the Estimation of Probabilities of Default and Credit Rating Migrations

3 citations · 3 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2025

Tamed Euler approximation for fully superlinear growth McKean-Vlasov SDE and their particle systems: sharp rates for strong propagation of chaos, convergence and ergodicity

Simran Soni, Neelima, Chaman Kumar +1

We study McKean--Vlasov Stochastic Differential Equations (MV-SDEs) whose drift and diffusion coefficients are of superlinear growth in \textit{all} their variables thus also super…

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…