Search Results - subject:"point-in-time"

Book-to-market, mispricing, and the cross-section of corporate bond returns

Bartram, Söhnke M.; Grinblatt, Mark; Nozawa, Yoshio - 2023

Persistent link: https://www.econbiz.de/10014417997

Through-the-cycle to point-in-time probabilities of default conversion : inconsistencies in the Vasicek approach

Basson, L. J.; Van Vuuren, Gary - In: International journal of economics and financial issues … 13 (2023) 6, pp. 42-52

Persistent link: https://www.econbiz.de/10014431298

Validation of corporate probability of default models considering alternative use cases

Jacobs, Michael - In: International Journal of Financial Studies 9 (2021) 4, pp. 1-22

uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be …

Persistent link: https://www.econbiz.de/10013200388

Validation of corporate probability of default models considering alternative use cases

Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-22

uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be …

Persistent link: https://www.econbiz.de/10012698321

Mispricing and risk premia in currency markets

Bartram, Söhnke M.; Djuranovik, Leslie; Garratt, Anthony; … - 2023

Persistent link: https://www.econbiz.de/10014390295

The adequacy of IFRS 15 for revenue recognition in the construction industry

Wyk, Milan van; Coetsee, Daniël - In: Journal of economic and financial sciences : JEF 13 (2020) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10012321102

Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities

Jakob, Kevin - In: The journal of credit risk : published quarterly by … 18 (2022) 4, pp. 29-63

Persistent link: https://www.econbiz.de/10014247865

Book-to-market, mispricing, and the cross-section of corporate bond returns

Bartram, Söhnke M.; Grinblatt, Mark; Nozawa, Yoshio - 2022

Persistent link: https://www.econbiz.de/10013412816

Hasten Industries, Inc. : timing of revenue recognition (ASC 606)

Churyk, Natalie T.; Reinstein, Alan; Gross, Guy M.; … - In: Issues in accounting education 39 (2024) 3, pp. 121-132

Persistent link: https://www.econbiz.de/10015046115

Development of an impairment point in time probability of default model for revolving retail credit products: South African case study

Breed, Douw Gerbrand; van Jaarsveld, Niel; Gerken, Carsten - In: Risks 9 (2021) 11, pp. 1-22

A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create account-specific PD term structures. The PiT term...

Persistent link: https://www.econbiz.de/10013200870