Methods and systems for generating transition probability matrices through an optimization framework

Methods and systems for generating transition probability matrices through an optimization framework

A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition prob...

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Hauptverfasser: Keenan, Sean Coleman, Avasarala, Vishwanath, Black, Jason Wayne, Chalermkraivuth, Kete, Ellis, John Andrew, Neagu, Radu, Subbu, Rajesh Venkat, Zhang, Jingjiao, Li, David Chienju
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creator Keenan, Sean Coleman
Avasarala, Vishwanath
Black, Jason Wayne
Chalermkraivuth, Kete
Ellis, John Andrew
Neagu, Radu
Subbu, Rajesh Venkat
Zhang, Jingjiao
Li, David Chienju
description A method for generating an optimized transition probability matrix (OTPM) is provided. The method is performed using a computer system coupled to a database. The method includes storing in the database financial data including obligor credit ratings, generating multi-period empirical transition probability matrices (ETPMs) for a selected time horizon using the financial data stored within the database, generating a mathematical expression to minimize a difference between target ETPM values and candidate OTPM values, and calculating the OTPM from the generated mathematical expression and the financial data stored within the database, wherein the calculated OTPM includes a first set of optimized transition probability values for predicting a likelihood that a credit rating of an obligor will migrate from one credit state to another credit state during a first time interval in the future.
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title Methods and systems for generating transition probability matrices through an optimization framework
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