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Are CDS spreads predictable? : an analysis of linear and non-linear forecasting models

Avino, Davide; Nneji, Ogonna - In: International review of financial analysis 34 (2014), pp. 262-274

Persistent link: https://www.econbiz.de/10010529033

Do measures of systemic risk predict U.S. corporate bond default rates?

Kanas, Angelos; Molyneux, Philip - In: International review of financial analysis 71 (2020), pp. 1-14

Persistent link: https://www.econbiz.de/10012437165

Applying machine learning algorithms to predict default probability in the online credit market : evidence from China

Liu, Yi; Yang, Menglong; Wang, Yudong; Li, Yongshan; … - In: International review of financial analysis 79 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013349857

Can machine learning models save capital for banks? : evidence from a Spanish credit portfolio

Alonso, Andrés; Carbó, José Manuel - In: International review of financial analysis 84 (2022), pp. 1-12

Persistent link: https://www.econbiz.de/10013472817

Labor education, cash transfers and student development : evidence from China

Li, Bo; Lu, Shilin - In: International review of financial analysis 87 (2023), pp. 1-11

Persistent link: https://www.econbiz.de/10014456316

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

Special issue: Credit ; aspects of credit risk

2007

Persistent link: https://www.econbiz.de/10003612681

Beyong Basel-2 simplified standardized approach : credit risk valuation of short-term loan commitments

Chateau, Jean-Pierre D. - In: International review of financial analysis 16 (2007) 5, pp. 412-433

Persistent link: https://www.econbiz.de/10003612960

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