Andrew Smith (UCD)
will speak on
Credit transition and default risk
Time: 3:00PM
Date: Thu 8th October 2026
Location: N0.20 - Science North
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Abstract: This paper examines models for the evolution of credit ratings over time, a key component in the portfolio and risk management of many insurance and pension plan balance sheets. It describes a common framework which includes many models used in practice and explores the ability of these models to capture important aspects of real-world credit evolution. It shows that the T copula naturally generates two systematic factors that can be interpreted as optimism and inertia, two key dimensions of empirical credit-rating transition behaviour.
The full paper is here:
https://vle.actuaries.org.uk/pluginfile.php/182007/mod_resource/content/1/TCopulaPaperDraft2.5.pdf
(This talk is part of the Statistics and Actuarial Science series.)
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