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Rating frailty, Bayesian updates, and portfolio credit risk analysis
Bu, Shang; Guo, Nan; Li, Lingfei - In: Quantitative finance 22 (2022) 4, pp. 777-797
Persistent link: https://www.econbiz.de/10013367859
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Stressed distance to default and default risk
Guo, Nan; Li, Lingfei - In: The journal of credit risk : published quarterly by … 18 (2022) 3, pp. 29-48
Persistent link: https://www.econbiz.de/10013549662