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Time Series Properties of a Rating System Based on Financial Ratios
Krüger, Ulrich - 2016
Persistent link: https://www.econbiz.de/10012989314
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Banking fragility and distress : an econometric study of macroeconomic determinants
Pesola, Jarmo (contributor) - 2005
Persistent link: https://www.econbiz.de/10003198079
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Estimating Probabilities of Default with Support Vector Machines
Härdle, Wolfgang K. - 2016
This paper proposes a rating methodology that is based on a non-linear classification method, the support vector machine, and a non-parametric technique for mapping rating scores into probabilities of default. We give an introduction to underlying statistical models and represent the results of...
Persistent link: https://www.econbiz.de/10012989283
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Banking Fragility and Distress : An Econometric Study of Macroeconomic Determinants
Pesola, Jarmo - 2018
The macroeconomic determinants of banking sector distresses in the Nordic countries, Belgium, Germany, Greece, Spain and the UK are analysed using an econometric model estimated on panel data from partly the early 1980s to 2002.The dependent variable is the ratio of banks' loan losses to...
Persistent link: https://www.econbiz.de/10012933190
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Dynamic modeling of credit portfolio risk with time-discrete Hzard rates
Hamerle, Alfred - 2002
Persistent link: https://www.econbiz.de/10013408266
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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
basis size is closely related to measures of company-specific credit risk and liquidity, and to market conditions. In … risk, liquidity, and market measures even more strongly than the basis itself, and we show which conditions make long and … basis trades. -- bond asset swap spreads ; CDS premia ; basis trading profits ; credit risk ; liquidity ; fixed …
Persistent link: https://www.econbiz.de/10003919401
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Szenarioanalysen und Stresstests in der Bank- und Versicherungspraxis : regulatorische Anforderungen, Umsetzung, Steuerung
Gruber, Walter (ed.); Martin, Marcus R. W. (contributor);  … - 2010
Persistent link: https://www.econbiz.de/10008651356
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Impact of legislation on credit risk : how different are the UK and Germany?
Schmieder, Christian; Schmieder, Philipp; Kraemer-Eis, … - 2010
The analysis of credit risk and its impacting factors are important topics for the European Investment Fund (EIF, the Fund) as the Fund provides guarantees to financial institutions for portfolios of loans and leases to micro- and small and medium sized-enterprises (SMEs). In this context, the...
Persistent link: https://www.econbiz.de/10011862434