30 Jul Automatic Synthesis of Tri-Diagonal Markov Transition Matrices: A Failure of the Inverse Ferron-Frobenius Algorithm
Posted at 12:20h
in Credit Spectrum
ABSTRACT: Sylvain Raynes experimented with a method developed by Goya and Boyarski (1993) to standardize the synthesis of conditional Markov transition matrices for deal entry in our automated re-rating system, ABSTRAK®. In the analytical literature, the reverse-engineering of a Markov matrix from its spectral-radius eigenvector is referred to as the Inverse Perron-Frobenius...