Similar Search Results

How connected is the global sovereign credit risk network?

Bostancı, Gorkem; Yılmaz, Kamil - 2015

We apply the Diebold-Yilmaz connectedness index methodology on sovereign credit default swaps (SCDSs) to estimate the network structure of global sovereign credit risk. In particular, using the elastic net estimation method, we separately estimate networks of daily SCDS returns and volatilities...

Persistent link: https://www.econbiz.de/10011326149

Breakup and default risks in the eurozone

Bonaccolto, Giovanni; Borri, Nicola; Consiglio, Andrea - 2020 - This version: March 6, 2020

Persistent link: https://www.econbiz.de/10012387848

Breakup and default risks in the great lockdown

Bonaccolto, Giovanni; Borri, Nicola; Consiglio, Andrea - In: Journal of banking & finance 147 (2023), pp. 1-15

Persistent link: https://www.econbiz.de/10014248239

Counting processes for retail default modeling

Kiefer, Nicholas Maximilian; Larson, C. Erik - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 45-72

Persistent link: https://www.econbiz.de/10011380103

A duration dependent rating migration model : real data application and cost of capital estimation

D'Amico, Guglielmo; Di Biase, Giuseppe; Janssen, Jacques; … - In: Finance a úvěr 64 (2014) 3, pp. 233-245

Persistent link: https://www.econbiz.de/10010373383

Survival analysis as a tool for better probability of default prediction

Rychnovský, Michal - In: Acta oeconomica Pragensia : vědecký časopis Vysoke … 26 (2018) 1, pp. 34-46

Persistent link: https://www.econbiz.de/10011896627

Credit risk scoring in entrepreneurship : feature selection

Pejić Bach, Mirjana; Šarlija, Natasa; Zoroja, Jovana; … - In: Managing global transitions : international research journal 17 (2019) 4, pp. 265-287

Persistent link: https://www.econbiz.de/10012200805

Affine models for credit risk analysis

Gouriéroux, Christian; Monfort, Alain; Polimenis, V. - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 494-530

Persistent link: https://www.econbiz.de/10003354119

Affine model for credit risk analysis

Gouriéroux, Christian; Monfort, Alain; Polimenis, Vassilis - 2005

Persistent link: https://www.econbiz.de/10003333870

An alternative methodology for estimating credit quality transition matrices

Gómez-González, José E.; Morales Acevedo, Paola; … - In: Journal of risk management in financial institutions 2 (2008/09) 4, pp. 353-364

Persistent link: https://www.econbiz.de/10003907276