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An improved multivariate Markov chain model for credit risk
Ching, Wai Ki; Siu, Tak Kuen; Li, Li-min; Jiang, Hao; … - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 83-106
Persistent link: https://www.econbiz.de/10003927496
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From actual to risk-neutral default probabilities : Merton and beyond
Berg, Tobias - In: The journal of credit risk : published quarterly by … 6 (2010/11) 1, pp. 55-86
Persistent link: https://www.econbiz.de/10003965724
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Lead-lag relationships and rating convergence among credit rating agencies
Güttler, André - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 95-119
Persistent link: https://www.econbiz.de/10009010624
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Treatment of double default effects within the granularity adjustment for Basel II
Ebert, Sebastian; Lütkebohmert-Holtz, Eva - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 3-33
Persistent link: https://www.econbiz.de/10009010639
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Evaluating the performance of static versus dynamic models of credit default : evidence from long-term small business administration-guaranteed loans
Glennon, Dennis C.; Nigro, Peter J. - In: The journal of credit risk : published quarterly by … 7 (2011/12) 2, pp. 3-35
Persistent link: https://www.econbiz.de/10009241313
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Counting processes for retail default modeling
Kiefer, Nicholas Maximilian; Larson, C. Erik - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 45-72
Persistent link: https://www.econbiz.de/10011380103
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Valuation differences between credit default swap and corporate bond markets
Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: The journal of credit risk : published quarterly by … 9 (2013/14) 4, pp. 3-46
Persistent link: https://www.econbiz.de/10010233818
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Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model
Lee, Yong Woong; Poon, Ser-Huang - In: The journal of credit risk : published quarterly by … 10 (2014) 1, pp. 33-61
Persistent link: https://www.econbiz.de/10010373355
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Dynamic affordability assessment : predicting an applicant's ability to repay over the life of the loan
Bijak, Katarzyna; Thomas, Lyn C.; Mues, Christophe - In: The journal of credit risk : published quarterly by … 10 (2014) 1, pp. 3-32
Persistent link: https://www.econbiz.de/10010373359
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Default predictors in credit scoring : evidence from France's retail banking instiution
Nguyen, Ha-thu - In: The journal of credit risk : published quarterly by … 11 (2015) 2, pp. 41-66
Persistent link: https://www.econbiz.de/10011298057