Brief Technical Note: A Markov Chain Approach to Measure Investment Rating Migrations
We explore two approaches (cohort versus hazard) to measure the probability of investment rate migrations of pension funds in Australia. We also develop validation procedures pertinent to each approach and find that the cohort method is more stable in its forecasts and reports a lesser migration p...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Wollongong
2013-09-01
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| Series: | Australasian Accounting, Business and Finance Journal |
| Subjects: | |
| Online Access: | http://ro.uow.edu.au/aabfj/vol7/iss3/9 |