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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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Crews : a CAMELS-based early warning system of systemic risk in the banking sector
Galán, Jorge E. - 2021
Persistent link: https://www.econbiz.de/10012990516
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Estimating the mortgage default probability in Cyprus : evidence using micro data
Antoniou, Savvas; Evangelou, Ioanna; Kallenos, Theodosis; … - 2022
Persistent link: https://www.econbiz.de/10014338043
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The changing face of chapter 11 bankruptcy : insights from recent trends and research
Hotchkiss, Edith; Thorburn, Karin S.; Wang, Wei - In: Annual review of financial economics 15 (2023), pp. 351-367
Persistent link: https://www.econbiz.de/10014426308
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Sukuk defaults : on distress resolution is Islamic finance
Wijnbergen, Sweder van; Zaheer, Sajjad - 2013
Persistent link: https://www.econbiz.de/10010191389
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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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Are default contributions sticky? : an experimental analysis of defaults in public goods provision
Cappelletti, Dominique; Mittone, Luigi; Ploner, Matteo - In: Journal of economic behavior & organization : JEBO 108 (2014), pp. 331-342
Persistent link: https://www.econbiz.de/10011296495
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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