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Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian; Löderbusch, Matthias; Maciag, Jakob - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
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Sovereign credit risk modeling using machine learning : a novel approach to sovereign credit risk incorporating private sector and sustainability risks
Anand, Arsh; Baesens, Bart; Vanpée, Rosanne - In: The journal of credit risk : published quarterly by … 19 (2023) 1, pp. 105-154
Persistent link: https://www.econbiz.de/10014488699