Capturing model risk and rating momentum in the estimation of probabilities of default and credit rating migrations

Business & Economics

• Rating Migration 100%
• Model Risk 78%
• Default Probability 77%
• Probability of Default 74%
• Credit Rating 67%
• Rating 60%
• Matrix 55%
• Markov Model 53%
• Marked Point Process 49%
• Rating Transitions 49%
• Fisher Information 47%
• Confidence Interval 45%
• Continuous-time Markov Chain 45%
• Process Model 43%
• Missing Data 40%
• Transition Probability 37%
• Markov Chain 34%
• Generator 32%
• Uncertainty 18%
• Methodology 15%
• Factors 10%