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Defaults and returns in the high-yield bond market : third-quarter 2013 review

Altman, Edward I.; Kuehne, Brenda J. - In: Journal of financial management, markets and institutions 1 (2013) 2, pp. 269-296

Persistent link: https://www.econbiz.de/10011949626

Covid-19 and the credit cycle

Altman, Edward I. - In: The journal of credit risk : published quarterly by … 16 (2020) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012298985

A screening model for corporate bond picking

Toft, Jon Svennesen; Lueg, Rainer - In: The international journal of finance 27 (2015) 4, pp. 437-453

Persistent link: https://www.econbiz.de/10011718626

Business and default cycles for credit risk

Koopman, Siem Jan; Lucas, André - 2003

they do, or at least that defaults and credit spreads tend to co-move with macro-economic variables. If true, this is …

Persistent link: https://www.econbiz.de/10011333881

Business and Default Cycles for Credit Risk

Koopman, Siem Jan; Lucas, André - 2003

they do, or at least that defaults and credit spreads tend to co-move with macro-economic variables. If true, this is …

Persistent link: https://www.econbiz.de/10010324897

Quantile forecasting for credit risk management using possibly mis-specified hidden Markov models

Banachewicz, Konrad; Lucas, André - 2007

Recent models for credit risk management make use of Hidden Markov Models (HMMs). The HMMs are used to forecast quantiles of corporate default rates. Little research has been done on the quality of such forecasts if the underlying HMM is potentially mis-specified. In this paper, we focus on...

Persistent link: https://www.econbiz.de/10011372502