Narrow search
Showing 1 - 10 of 15,115
Cover Image
Machine Learning for Corporate Default Risk : Multi-Period Prediction, Frailty Correlation, Loan Portfolios, and Tail Probabilities
Sigrist, Fabio; Leuenberger, Nicola - 2021
tails of portfolio losses compared to both a linear frailty model and machine learning methods ignoring frailty correlation …
Persistent link: https://www.econbiz.de/10013324358
Cover Image
Pitfalls in modeling loss given default of bank loans
Hibbeln, Martin; Gürtler, Marc - 2011
The parameter loss given default (LGD) of loans plays a crucial role for risk-based decision making of banks including risk-adjusted pricing. Depending on the quality of the estimation of LGDs, banks can gain significant competitive advantage. For bank loans, the estimation is usually based on...
Persistent link: https://www.econbiz.de/10009487575
Cover Image
Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge
Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105
Persistent link: https://www.econbiz.de/10012174432
Cover Image
Intertemporal forecasts of defaulted bond recoveries and portfolio losses
Kalotay, Egon A.; Altman, Edward I. - In: Review of finance : journal of the European Finance … 21 (2017) 1, pp. 433-463
Persistent link: https://www.econbiz.de/10011778628
Cover Image
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
Cover Image
Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors
Lee, Yong Woong; Poon, Ser-Huang - In: Journal of economic dynamics & control 41 (2014), pp. 69-92
Persistent link: https://www.econbiz.de/10010425019
Cover Image
Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias - 2002
Persistent link: https://www.econbiz.de/10001649713
Cover Image
Incorporating prediction and estimation risk in point-in-time credit portfolio models
Hamerle, Alfred; Knapp, Michael; Liebig, Thilo; … - 2005
parameters for the estimation of probability of default or asset correlation are not available, and usually have to be estimated …
Persistent link: https://www.econbiz.de/10003209701
Cover Image
International Financial Reporting Standard 9 expected credit loss estimation : advanced models for estimating portfolio loss and weighting scenario losses
Yang, Bill Huajian; Wu, Biao; Cui, Kaijie; Du, Zunwei; … - In: The journal of risk model validation 14 (2020) 1, pp. 19-34
Persistent link: https://www.econbiz.de/10014335910
Cover Image
Quantitative methods in economics and finance
Kliestik, Tomas (ed.); Valaskova, Katarina (ed.);  … - 2021
The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...
Persistent link: https://www.econbiz.de/10012586709