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Empirical performance of loss given default prediction models
Bade, Benjamin; Rösch, Daniel; Scheule, Harald - In: The journal of risk model validation 5 (2011) 2, pp. 25-44
Persistent link: https://www.econbiz.de/10009356823
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Modelling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework
Yang, Bill Huajian - In: The journal of risk model validation 8 (2014) 3, pp. 33-48
Persistent link: https://www.econbiz.de/10010423905
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Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark - In: The journal of risk model validation 15 (2021) 4, pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Probability of default validation : a single-year and a multiyear methodology for the Basel framework
Blümke, Oliver - In: The journal of risk model validation 6 (2012) 2, pp. 47-79
Persistent link: https://www.econbiz.de/10009572303
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A point-in-time-through-the-cycle approach to rating assignment and probability of default calibration
Rubtsov, Mark; Petrov, Alexander - In: The journal of risk model validation 10 (2016) 2, pp. 83-112
Persistent link: https://www.econbiz.de/10011527482
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Probability of default validation : introducing the likelihood-ratio test and power considerations
Blümke, Oliver - In: The journal of risk model validation 7 (2013) 2, pp. 29-59
Persistent link: https://www.econbiz.de/10009780653
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Forward ordinal probability models for point-in-time probability of default term structure : methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR s...
Yang, Bill Huajian - In: The journal of risk model validation 11 (2017) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10011762989
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A risk-sensitive approach for stressed transition probability matrixes
Perilioglu, Ahmet; Perilioglu, Karina; Tuysuz, Sukriye - In: The journal of risk model validation 12 (2018) 3, pp. 51-74
Persistent link: https://www.econbiz.de/10011991970
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Special issue: Credit portfolio modeling
2011
Persistent link: https://www.econbiz.de/10009356805