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The pricing of credit derivatives and estimation of default probability
Zhou, Hanghang; Zhao, Dianli - In: Journal of mathematical finance 5 (2015) 3, pp. 243-248
Persistent link: https://www.econbiz.de/10011438503
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Multi-factor default correlation model estimation : enhancement with bootstrapping
Yang, Zhihui; Ray Majumder, Saikat; Shen, Weiwei; Karm, … - In: Journal of risk : JOR 26 (2024) 3, pp. 33-48
Persistent link: https://www.econbiz.de/10014487316
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Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad; Lucas, André - In: Journal of forecasting 27 (2008) 7, pp. 566-586
Persistent link: https://www.econbiz.de/10003779594
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Quantile forecasting for credit risk management using possibly mis-specified Hidden Markov Models
Banachewicz, Konrad; Lucas, André - 2007
Persistent link: https://www.econbiz.de/10003482655
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Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - 2006
Persistent link: https://www.econbiz.de/10003440095
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Feedback effects of rating downgrades
Fulop, Andras - 2006
Persistent link: https://www.econbiz.de/10003440101
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Pricing and momentum of syndicated credit in Europe
Christodoulakis, George A.; Olupeka, Taiwo - In: Omega : the international journal of management science 38 (2009/10) 5, pp. 325-332
Persistent link: https://www.econbiz.de/10003963261
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Simulation and estimation of loss given default
Hlawatsch, Stefan; Ostrowski, Sebastian - 2010
Persistent link: https://www.econbiz.de/10003966047
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Estimating the structural credit risk model when equity prices are contaminated by trading noises
Duan, Jin-Chuan; Fulop, Andras - In: Journal of econometrics 150 (2009) 2, pp. 288-296
Persistent link: https://www.econbiz.de/10003858905
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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