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Business and Default Cycles for Credit Risk
Koopman, Siem Jan; Lucas, André - Tinbergen Instituut - 2003
-up that they do, or at least that defaults and credit spreads tend to co-move with macro-economic variables. If true, this is …
Persistent link: https://www.econbiz.de/10011255530
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Modeling Portfolio Defaults using Hidden Markov Models with Covariates
Banachewicz, Konrad; Vaart, Aad van der; Lucas, André - Tinbergen Instituut - 2006
We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The …
Persistent link: https://www.econbiz.de/10011255628
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Quantile Forecasting for Credit Risk Management using possibly Mis-specified Hidden Markov Models
Banachewicz, Konrad; Lucas, André - Tinbergen Instituut - 2007
Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...
Persistent link: https://www.econbiz.de/10011255911
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Sukuk Defaults: On Distress Resolution in Islamic Finance
Wijnbergen, Sweder van; Zaheer, Sajjad - Tinbergen Instituut - 2013
agreement). Yet defaults did happen, even in the case of musharakah (joint venture) sukuk discussed in this study. So is Islamic … finance failing to deliver on its promises? To answer that question, we analyse four major defaults on Sukuk that have …
Persistent link: https://www.econbiz.de/10011256906