search query: @freeterm credit VaR / total: 1
reference: 1 / 1
« previous | next »
| Author: | Truck, S. |
| Title: | Forecasting credit migration matrices with business cycle effects—a model comparison |
| Journal: | European Journal of Finance
2008 : JUL-SEP, VOL. 14:5-6, p. 359-379 |
| Index terms: | credit forecasting business cycles migration risk management models |
| Freeterms: | transition matrices credit VaR numerical adjustment methods |
| Language: | eng |
| Abstract: | The article compares a factor model approach and numerical adjustment methods for estimation and forecasting of conditional migration matrices.It is found that the methods may lead to quite different forecasting results. Although the numerical adjustment methods fail to outperform the naive approach of taking previous year's migration matrix as an estimator, the one-factor model provides significantly better in-sample and out-of-sample results. Additionally, on the basis of a chosen risk-sensitive goodness-of-fit criteria, it is able to interpret the results in terms of risk. |
« previous | next »
SCIMA