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The relationship between counterparty default and interest rate volatility and its impact on the credit risk of interest rate derivatives
Harris, Geoffrey R.; Wu, Tao L.; Yang, Jiarui - In: The journal of credit risk : published quarterly by … 11 (2015) 1, pp. 93-127
Persistent link: https://www.econbiz.de/10011298489
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The impact on loan-to-value on the default rate of residential mortgage-backed securities
Otero-González, Luis; Durán-Satomil, Pablo; … - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 1-13
Persistent link: https://www.econbiz.de/10011642638
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The doble default value-of-the-firm model
Gouriéroux, Christian; Monfort, Alain - In: The journal of credit risk : published quarterly by … 12 (2016) 2, pp. 47-76
Persistent link: https://www.econbiz.de/10011597891
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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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The economic of debt collection, with attention to the issue of salience of collections at the time credit is granted
Durbin, Erik; Romeo, Charles J. - In: The journal of credit risk : published quarterly by … 16 (2020) 4, pp. 85-117
Persistent link: https://www.econbiz.de/10012494773
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Covid-19 and the credit cycle : 2020 revisited and 2021 outlook
Altman, Edward I. - In: The journal of credit risk : published quarterly by … 17 (2021) 4, pp. 1-13
Persistent link: https://www.econbiz.de/10013185678
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Stressing of migration matrixes for International Financial Reporting Standard 9 and Internal Capital Adequacy Assessment Process Calculations
Witzany, Jiří - In: The journal of credit risk : published quarterly by … 18 (2022) 3, pp. 49-76
Persistent link: https://www.econbiz.de/10013549663
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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 fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
Altman, Edward I. - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10012041794
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Calculating capital charges for sector concentration risk
Kurtz, Cornelius; Lütkebohmert-Holtz, Eva; Sester, Julian - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 35-67
Persistent link: https://www.econbiz.de/10012041800