International Journal of Stochastic Analysis / 2012 / Article / Tab 1

Research Article

A Dependent Hidden Markov Model of Credit Quality

Table 1

Estimates of matrices , , and .
(a)

Estimated matrix Estimated matrix
IG SG D NR IG SG D NR

IG 0.408 0.018 0.000 0.000 IG 0.126 0.038 0.000 0.000
SG 0.068 0.249 0.000 0.000 SG 0.094 0.118 0.010 0.000
D 0.000 0.017 1.000 0.000 D 0.001 0.004 0.000 0.000
NR 0.524 0.715 0.000 0.999 NR 0.780 0.840 0.990 1.000

(b)

Estimated matrix
IG category D category
IG SG D NR IG SG D NR

IG 0.119 0.007 0.000 0.000 IG 0.000 0.000 0.000 0.000
SG 0.076 0.018 0.000 0.000 SG 0.000 0.000 0.010 0.000
D 0.000 0.001 0.000 0.000 D 0.000 0.000 0.000 0.000
NR 0.211 0.043 0.000 0.524 NR 0.000 0.000 0.990 0.000

SG category NR category
IG SG D NR IG SG D NR

IG 0.007 0.032 0.000 0.000 IG 0.000 0.000 0.000 0.000
SG 0.006 0.105 0.008 0.000 SG 0.000 0.000 0.000 0.000
D 0.000 0.003 0.000 0.000 D 0.000 0.000 0.000 0.000
NR 0.008 0.108 0.009 0.715 NR 0.000 0.000 0.000 0.999

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