Credit risk transition probabilities between aggregate portfolio classes constitute a very useful tool when individual transition data are not available. Jones (2005) estimates Markovian Credit Transition Matrices using an adjusted least squares method. Given the arguments of Judge and Takayama...

In this paper we examine the relationship of optimal forecasts in two different contexts, that is asymmetric preferences and hubris. The former incorporates preference restrictions directly into the shape of the loss function, whilst the latter does so indirectly by constraining the shape of the...