Random Matrix Theory (RMT) has emerged as an indispensable framework for understanding the statistical properties of matrices whose entries are determined by probabilistic processes. Initially ...
Let ${\mathrm{Z}}_{{\mathrm{M}}_{1}\times \mathrm{N}}={\mathrm{T}}^{\frac{1}{2}}\mathrm{X}$ where (T½)2 = T is a positive definite matrix and X consists of ...
Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation This paper outlines a way to estimate transition matrices for use in credit risk modeling with a decades-old methodology ...
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