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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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A new model for bank loan loss given default by leveraging time to recovery
Chen, Heng Z. - In: The journal of credit risk : published quarterly by … 14 (2018) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10011962384
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An interpretable Comprehensive Capital Analysis and Review (CCAR) neural network model for portfolio loss forecasting and stress testing
Chen, Heng Z. - In: The journal of credit risk : published quarterly by … 17 (2021) 3, pp. 141-161
Persistent link: https://www.econbiz.de/10012816950
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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