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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
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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/10010325238
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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
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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
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Modeling portfolio defaults using hidden Markov models with covariates
Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006
We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The …
Persistent link: https://www.econbiz.de/10011349709
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The default heuristic in strategic decision making : when is it optimal to choose the default without investing in information search?
Azar, Ofer H. - In: Journal of business research : JBR 67 (2014) 8, pp. 1744-1748
Persistent link: https://www.econbiz.de/10010379237
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Effects of prepayment regulations on termination of subprime mortgages
Steinbuks, Jevgenijs - In: Journal of banking & finance 59 (2015), pp. 445-456
Persistent link: https://www.econbiz.de/10011544647
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Active choice, implicit defaults, and the incentive to choose
Beshears, John; Choi, James J.; Laibson, David I.; … - In: Organizational behavior and human decision processes : … 163 (2021), pp. 6-16
Persistent link: https://www.econbiz.de/10012545443
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The power of defaults in intergroup conflict
Böhm, Robert; Halevy, Nir; Kugler, Tamar - In: Organizational behavior and human decision processes : … 168 (2022), pp. 1-12
Persistent link: https://www.econbiz.de/10013185302
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Impact of marketplace lending on consumers' future borrowing capacities and borrowing outcomes
Chava, Sudheer; Ganduri, Rohan; Paradkar, Nikhil; … - In: Journal of financial economics 142 (2021) 3, pp. 1186-1208
Persistent link: https://www.econbiz.de/10012875935