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| A Note on Fitting Markov Operator Credit Risk Models by Harley Thompson of Commonwealth Bank of Australia, and June 2008 Abstract: We estimate a Markov operator credit migration model in which credit conditions vary through time in response to underlying macroeconomic factors. Emphasis is given to practical issues arising when fitting the model to a portfolio of risk rated credits, including the treatment of incomplete data, accounting for portfolio regeneration and aggregation issues. Keywords: Credit Risk, Portfolio Modelling, Stochastic Time Change, Markov Operator, CGMY. Books Referenced in this paper: (what is this?)
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