Markov chains are frequently used in Operational Research to describe how a system changes over time, its behaviour being governed by its transition matrix. This paper describes a technique for ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology ...

A credit-sensitive note (CSN) is a corporate coupon-bearing bond whose floating coupon rates link to the credit rating of the corporation. Acharya, Das and Sundaram proposed a model to price them, but ...

This paper investigates measurement error biases in estimated poverty transition matrices. We compare transition matrices based on survey expenditure data to ...