A corporate credit rating model with autoregressive errors
Year of publication: |
2022
|
---|---|
Authors: | Hirk, Rainer ; Vana, Laura ; Hornik, Kurt |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 69.2022, p. 224-240
|
Subject: | Composite likelihood | Corporate credit ratings | Longitudinal ordinal regression model | Ordinal LASSO | Predictive performance | Kreditwürdigkeit | Credit rating | Regressionsanalyse | Regression analysis | Kreditrisiko | Credit risk | Theorie | Theory | Qualitative Methode | Qualitative method |
-
A class of categorization methods for credit scoring models
Silva, Diego M. B., (2022)
-
Multivariate ordinal models in credit risk : three essays
Hirk, Rainer, (2020)
-
A joint model of failures and credit ratings
Hirk, Rainer, (2021)
- More ...
-
A joint model of failures and credit ratings
Hirk, Rainer, (2021)
-
Statistical modeling for credit ratings
Vana, Laura, (2018)
-
Multivariate ordinal models in credit risk : three essays
Hirk, Rainer, (2020)
- More ...