We review different methods for simulating credit migrations in a nonparametric and discrete or continuous-time Markov chain framework. We suggest the use of a factor model approach in combination with the use of copulas for the joint dynamics of credit rating changes.While there are several...

In this study an exploration of insurance risk transfer is undertaken for the cyber insurance industry in the United States of America, based on the leading industry dataset of cyber events provided by Advisen. We seek to address two core unresolved questions. First, what factors are the most...

This paper provides an overview on classical and new methods for testing time series properties of migration matrices. It is well known that due to cyclical behaviour of the economy transition matrices for many credit portfolios cannot be considered to be constant through time. Further,...