Journal of Risk Model Validation
ISSN:
1753-9579 (print)
1753-9587 (online)
Editor-in-chief: Steve Satchell
Multiple hypotheses testing of transition matrices
Victor de la Pena, Adrian Hernandez-del-Valle, Ricardo Rivera
Abstract
ABSTRACT
We propose a multiple hypotheses test of equality between transition matrices and apply our procedure to solve the problem of “accuracy” of credit rating transition matrices.
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