Matrix Calculation Of The Number Of Its Applications In The Quantitative Analysis Of Credit Risk

In this paper, we present an algorithm based on inverse scaling and squaring method for the computation of matrix logarithm. By setting proper stopping criteria for DB iterations to compute incomplete square root in the "scaling" process and diagonal Padéapproximation for logarithm of "scaled" matrix, we can show that the relative error of the computed solution is within the specified accuracy. As an application, we apply this algorithm to compute the generator matrix for credit rating transition in JLT model.