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Fundamentals-based estimation of default probabilities : a survey

Chan-Lau, Jorge A. - 2006

Persistent link: https://www.econbiz.de/10003354354

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

The credit risk transfer market and stability implications for UK financial institutions

Chan-Lau, Jorge A.; Ong, Li Lian - 2006

Persistent link: https://www.econbiz.de/10003354210

Recent advances in credit risk modeling

Capuano, Christian; Chan-Lau, Jorge A.; Gasha, Giancarlo; … - 2009

Persistent link: https://www.econbiz.de/10003901070

Estimating the exposures of major financial institutions to the global credit risk transfer market : are they slicing the risks or dicing with danger?

Chan-Lau, Jorge A.; Ong, Li Lian - In: The journal of fixed income 17 (2007) 3, pp. 90-99

Persistent link: https://www.econbiz.de/10003687375

Identifying contagion risk in the international banking system : an extreme value theory approach

Chan-Lau, Jorge A.; Mitra, Srobona; Ong, Li Lian - In: International journal of finance & economics : IJFE 17 (2012) 4, pp. 390-406

Persistent link: https://www.econbiz.de/10009689473

Identifying systemic and idiosyncratic risk from standardized single-tranche collateralized debt obligations

Chan-Lau, Jorge A.; Lu, Yinqiu - In: The credit derivatives handbook : global perspectives, …, (pp. 289-302). 2008

Persistent link: https://www.econbiz.de/10003748426

The END : a new indicator of financial and nonfinancial corporate sector vulnerability

Chan-Lau, Jorge A.; Gravelle, Toni - 2005

Persistent link: https://www.econbiz.de/10003266735

Scenario analysis with the DD-PD mapping approach : stock market shocks and U.S. corporate default risk

Chan-Lau, Jorge A. - 2021

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...

Persistent link: https://www.econbiz.de/10012613371

Assessing corporate vulnerabilities in Indonesia : a bottom-up default analysis

Miyajima, Ken; Chan-Lau, Jorge A.; Miao, Weimin; Shin, … - In: Asia-Pacific financial markets 24 (2017) 4, pp. 269-289

Persistent link: https://www.econbiz.de/10011797687