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The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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Survival analysis of the Spanish hotel industry
Gémar, Germán; Moniche, Laura; Morales, Antonio J. - In: Tourism management : research, policies, practice 54 (2016), pp. 428-438
Persistent link: https://www.econbiz.de/10011452137
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Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa; Victoria, Nuguer; Uysal, Pinar - 2017
This paper models the housing sector, mortgages and endogenous default in a DSGE setting with nominal and real rigidities. We use data for the period 1981-2006 to estimate our model using Bayesian techniques. We analyze how an increase in risk in the mortgage market raises the default rate and...
Persistent link: https://www.econbiz.de/10011660977
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Modeling corporate defaults : poisson autoregressions with exogenous covariates (PARX)
Agosto, Arianna; Cavaliere, Giuseppe; Kristensen, Dennis; … - In: Journal of empirical finance 38 (2016), pp. 640-663
Persistent link: https://www.econbiz.de/10011663393
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Benchmarking collateral of triple-a rated securities
Sarmiento, Camilo - In: Applied economics letters 27 (2020) 7, pp. 555-558
Persistent link: https://www.econbiz.de/10012205727
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Estimating distance-to-defauIt with a sector-specific liability adjustment via sequential Monte Carlo
Duan, Jin-Chuan; Wang, W.-T. - In: Applied quantitative finance, (pp. 73-91). 2017
Persistent link: https://www.econbiz.de/10011794954
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Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model
Calabrese, Raffaella; Marra, Giampiero; Osmetti, Silvia … - In: Journal of the Operational Research Society : OR 67 (2016) 4, pp. 604-615
Persistent link: https://www.econbiz.de/10011516598
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Mortgage default in an estimated model of the U.S. housing market
Lambertini, Luisa; Nuguer, Victoria; Uysal, Pinar - In: Journal of economic dynamics & control 76 (2017), pp. 171-201
Persistent link: https://www.econbiz.de/10011817214
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Estimating the probability of financial distress in European markets : prediction models and empirical applications
Cerri, Andrea; Gigante, Gimede - In: Bank performance, risk and securitisation, (pp. 37-88). 2013
Persistent link: https://www.econbiz.de/10010240297
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Estimating self-exciting models of correlated corporate default
Azizpour, Shahriar - 2008
Persistent link: https://www.econbiz.de/10010247145