Analyzing rating transitions and rating drift with continuous observations

Credit migration and basket derivatives pricing with copulas

“…To estimate the infinitesimal generator of the simple Markov chains, we use the method proposed in Lando and Skødeberg (2002). We outline the procedure in Section 3.1.…”

Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans

“…Lando and Skodeberg (2002) consider this fact one disadvantage, when compared to other methods that consider continuous time. They report that null estimates for transition probabilities can be mistakenly obtained if the initial rating state is equal to the final state.…”

The Probability of Default Under IFRS 9: Multi-period Estimation and Macroeconomic Forecast

“…After the introduction of the Basel II framework, transition matrices became popular also for estimating transition probabilities (including default probabilities) in various applications in the calculation of credit risk capital requirements. This paper does not deal with the initial transition matrix estimation -for possible estimation approaches, discussion of their advantages and disadvantages, and technical details, see Lando, Skødeberg (2002), Jafry, Schuermann (2004), or Engelmann, Ermakov (2011.…”