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Preferential Credit Treatment, Bond Valuations, and Distressed Exchanges
Sarmiento, Camilo - 2018
This paper uses Duffie and Singleton (1999) discount model for defaultable bonds to infer the presence of a preferential credit treatment (PCT) for Multilateral Development Banks (MDBs) in loss given default (LGD) space. The main inferences from the paper are twofold. -1- Lower lending fees in...
Persistent link: https://www.econbiz.de/10012907797
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Assessing the estimation uncertainty of default probabilities
Lawrenz, Jochen - In: Kredit und Kapital 41 (2008) 2, pp. 217-238
Persistent link: https://www.econbiz.de/10003742639
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Market-based estimation of default probabilities and its application to financial market surveillance
Chan-Lau, Jorge A. - 2006
Persistent link: https://www.econbiz.de/10003329109
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Fundamentals-based estimation of default probabilities : a survey
Chan-Lau, Jorge A. - 2006
Persistent link: https://www.econbiz.de/10003354354
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Die Diskussion um Prozyklizität versus Risikosensivität im Basler Konsultationsprozess : eine empirische Schätzung der asset return correlation und der Ausfallwahrscheinlichkeit fü...
Vondra, Klaus; Weiser, Harald - In: Kredit und Kapital 39 (2006) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10003311575
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Estimating default probabilities implicit in equity prices
Janosi, Tibor; Jarrow, Robert A.; Yildirim, Yildiray - In: The credit market handbook : advanced modeling issues, (pp. 1-38). 2006
Persistent link: https://www.econbiz.de/10003338037
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Predictions of default probabilities in structural models of debt
Leland, Hayne E. - In: The credit market handbook : advanced modeling issues, (pp. 39-64). 2006
Persistent link: https://www.econbiz.de/10003338038
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Of the credibility of mapping and benchmarking credit risk estimates for internal rating systems
Oung, Vichett - In: The analytics of risk model validation, (pp. 91-111). 2008
Persistent link: https://www.econbiz.de/10003868689
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Backtesting von Ausfallwahrscheinlichkeiten
Huschens, Stefan - In: Risikomanagement aus Bankenperspektive : Grundlagen, …, (pp. 167-180). 2006
Persistent link: https://www.econbiz.de/10003372394