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Spillover effects across credit spreads in Korean bond market
Lee, Hangyong; Lee, Sang-heon - In: Journal of economic research 20 (2015) 1, pp. 21-38
Persistent link: https://www.econbiz.de/10011296826
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Empirics of Korean shipping companies' default predictions
Park, Sunghwa; Kim, Hyunsok; Kwon, Janghan; Kim, Taeil - In: Risks : open access journal 9 (2021) 9, pp. 1-18
In this paper, we use a logit model to predict the probability of default for Korean shipping companies. We explore numerous financial ratios to find predictors of a shipping firm’s failure and construct four default prediction models. The results suggest that a model with industry specific...
Persistent link: https://www.econbiz.de/10012612618
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Understanding corporate bond defaults in Korea using machine learning models
Park, Dojoon; Auh, Jun Kyung; Eom, Young Ho - In: Asia-Pacific journal of financial studies 53 (2024) 2, pp. 238-276
Persistent link: https://www.econbiz.de/10014530710
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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
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Forecasting lifetime credit losses : modelling considerations for complying with the new FASB and IASB current expected credit loss models
McPhail, Joseph E.; McPhail, Lihong Lu - In: Journal of risk management in financial institutions 7 (2014) 4, pp. 375-388
Persistent link: https://www.econbiz.de/10011346965
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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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Credit risk forecasting modelling and projections under IFRS 9
Montesi, Giuseppe; Papiro, Giovanni; Ugolini, Laura - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 79-101
Persistent link: https://www.econbiz.de/10012041846
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Statistical modeling for credit ratings
Vana, Laura - 2018
Persistent link: https://www.econbiz.de/10011982707
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Loss given default estimation : a two-stage model with classification tree-based boosting and support vector logistic regression
Tanoue, Yuta; Yamashita, Satoshi - In: Journal of risk 21 (2018/2019) 4, pp. 19-37
Persistent link: https://www.econbiz.de/10012059863
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Stage transfer effect on impairment forecasts
Skoglund, Jimmy; Chen, Wei - In: Journal of risk management in financial institutions 11 (2017/2018) 3, pp. 244-256
Persistent link: https://www.econbiz.de/10011942536