Appraising Credit Ratings; Does the CAP Fit Better than the ROC?
Year of publication: |
2012-05-01
|
---|---|
Institutions: | International Monetary Fund (IMF) ; International Monetary Fund |
Subject: | Credit risk | Economic models | OECD | probability | equation | credit ratings | probabilities | statistics | equations | prediction | predictions | fitted model | cumulative distribution function | applications | probability distributions | standard deviation | computation | capital requirements | dummy variable | pension funds | probability density | normal distribution |
-
Basurto, Miguel A. Segoviano, (2006)
-
Recent Advances in Credit Risk Modeling
Gasha, Jose Giancarlo, (2009)
-
Modeling Stochastic Volatility with Application to Stock Returns
Krichene, Noureddine, (2003)
- More ...
-
(2012)
-
(2011)
-
(2011)
- More ...