英文标题：
《The effect of the number of states on the validity of credit ratings》
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作者：
P. Lencastre, F. Raischel, P.G. Lind
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最新提交年份：
2014
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英文摘要：
We explicitly test if the reliability of credit ratings depends on the total number of admissible states. We analyse open access credit rating data and show that the effect of the number of states in the dynamical properties of ratings change with time, thus giving supportive evidence that the ideal number of admissible states changes with time. We use matrix estimation methods that explicitly assume the hypothesis needed for the process to be a valid rating process. By comparing with the likelihood maximization method of matrix estimation, we quantify the \"likelihood-loss\" of assuming that the process is a well grounded rating process.
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中文摘要：
我们明确测试信用评级的可靠性是否取决于可接受状态的总数。我们分析了开放获取的信用评级数据，表明评级动态特性中的状态数的影响随时间而变化，从而提供了支持性证据，证明理想的可容许状态数随时间而变化。我们使用矩阵估计方法，明确假设过程是有效的评级过程所需的假设。通过与矩阵估计的似然最大化方法进行比较，我们量化了假设过程是一个有充分依据的评级过程的“似然损失”。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Risk Management 风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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