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Probability of default and default correlations
Li, Weiping - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-19
formula for the default correlation via the correlated multivariate process of the first-passage-time default correlation … model. Our structural model encodes the sensitivities of default correlations with respect to the underlying correlation …
Persistent link: https://www.econbiz.de/10011543135
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The regime-switching structural default risk model
Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33
and an extension of the MDR model with changes in drift parameters, using maximum likelihood estimation. Focusing on the …
Persistent link: https://www.econbiz.de/10014497430
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Cyclicality in losses on bank loans
Keijsers, Bart; Diris, Bart; Kole, Erik - 2015
profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the …
Persistent link: https://www.econbiz.de/10010515860
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Correlations and Business Cycles of Credit Risk : Evidence from Bankruptcies in Germany
Roesch, Daniel - 2013
A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on …
Persistent link: https://www.econbiz.de/10013073402
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Recovery rates, default probabilities and the credit cycle
Bruche, Max (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003525294
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The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates
Roesch, Daniel - 2013
With the New Basle Capital Accord banks' capital requirements are determined with risk weights based on internal and external ratings and probabilities of default (PD's). PD's are mostly estimated from historical default rates. In recent working papers the Basle Committee on Banking Supervision...
Persistent link: https://www.econbiz.de/10013073399
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Rating migration and bond valuation : a historical interest rate and default probability term structures
Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39
Persistent link: https://www.econbiz.de/10012053529
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Defaults and returns in the high-yield bond market : third-quarter 2013 review
Altman, Edward I.; Kuehne, Brenda J. - In: Journal of financial management, markets and institutions 1 (2013) 2, pp. 269-296
Persistent link: https://www.econbiz.de/10011949626
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Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639703
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Preferential Credit Treatment, Bond Valuations, and Distressed Exchanges
Sarmiento, Camilo - 2018
This paper uses Duffie and Singleton (1999) discount model for defaultable bonds to infer the presence of a preferential credit treatment (PCT) for Multilateral Development Banks (MDBs) in loss given default (LGD) space. The main inferences from the paper are twofold. -1- Lower lending fees in...
Persistent link: https://www.econbiz.de/10012907797