CORPORATE CREDIT RISK MODELING: QUANTITATIVE RATING SYSTEM AND PROBABILITY OF DEFAULT ESTIMATION
Year of publication: |
2005-05-13
|
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Authors: | Fernandes, João |
Institutions: | EconWPA |
Subject: | Credit Scoring | Credit Rating | Private Firms | Discriminatory Power | Basel Capital Accord | Capital Requirements |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - pdf; pages: 70 70 pages |
Classification: | C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods ; G21 - Banks; Other Depository Institutions; Mortgages ; G28 - Government Policy and Regulation |
Source: |
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Jacobson, Tord, (2003)
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Cyclicality in losses on bank loans
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Credit Rating Migration Risk and Business Cycles
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Corporate Credit Risk Modeling : Quantitative Rating System and Probability of Default Estimation
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