Bladt, Mogens; SØrensen, Michael - In: Quantitative Finance 9 (2009) 2, pp. 147-160
continuous-time Markov model. Two methods for estimating the transition intensities are given: the EM algorithm and an MCMC … credit ratings, including default probabilities, over any time horizon. Thus the advantages of a continuous-time model can be … obtained without continuous-time data. Estimates of the variance of estimators as well as confidence and credibility intervals …