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 ...

Let P = (pjk) be the transition matrix of an ergodic, finite Markov chain with no cyclically moving sub-classes. For each possible transition (j, k), let Hjk(x) be a distribution function admitting a ...

When applying the Markov model, it is often assumed the transition matrix is stationary and of order one. This article considers the problem of applying the transformed likelihood ratio statistic and ...