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Credit risk, valuation and fundamental analysis

Realdon, Marco - In: International review of financial analysis 27 (2013), pp. 77-90

Persistent link: https://www.econbiz.de/10009736940

Validation of default probability models : a stress testing approach

Tsukahara, Fábio Yasuhiro; Kimura, Herbert; Sobreiro, … - In: International review of financial analysis 47 (2016), pp. 70-85

Persistent link: https://www.econbiz.de/10011624054

Business model and ESG pillars : the impacts on banking default risk

Palmieri, Egidio; Ferilli, Greta Benedetta; Altunbaş, Yener - In: International review of financial analysis 91 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014446997

The information content of CDS implied volatility and associated trading strategies

Shi, Yukun; Chen, Ding; Guo, Biao; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-16

Persistent link: https://www.econbiz.de/10013460868

Are corporates' target leverage ratios time-dependent?

Hui, Cho H.; Lo, C. F.; Huang, M. X. - In: International review of financial analysis 15 (2006) 3, pp. 220-236

Persistent link: https://www.econbiz.de/10003348579

Basel-2 capital adequacy : computing the "fair" capital charge for loan commitment "true" credit risk

Chateau, Jean-Pierre D.; Wu, J. - In: International review of financial analysis 16 (2007) 1, pp. 1-21

Persistent link: https://www.econbiz.de/10003407483

Marking-to-model credit and operational risks of loan commitments : a Basel-2 advanced internal ratings-based approach

Chateau, Jean-Pierre D. - In: International review of financial analysis 18 (2009) 5, pp. 260-270

Within a marking-to-model framework, this research computes the bank's capital charge for credit and operational risks of loan commitments at Basel-2 fixed audit date. This is done in three steps. The first one prices commitment credit risk as a Gram-Charlier put value and determines the...

Persistent link: https://www.econbiz.de/10003936604