Credit rating transition matrices form a little noticed yet vital part of many financial models. Based on historical data, transition matrices measure how quickly ratings can be expected to move from ...

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

This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology that uses aggregate proportions data. This methodology is ideal for credit-risk ...

In this paper, we propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors. We use two indicators, which we call bias and inertia, to summarize ...