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An analysis of the determinants of S&P ratings assigned to Canadian firms : application of a multinomial logit

Amdouni, Walid; Soumaré, Issouf - In: Journal of risk management in financial institutions 7 (2014) 4, pp. 353-369

Persistent link: https://www.econbiz.de/10011346969

Rating based Lévy Libor model

Eberlein, Ernst; Grbac, Zorana - In: Mathematical finance : an international journal of … 23 (2013) 4, pp. 591-626

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An analytical approach for systematic risk sensitivity of structured finance products

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Credit ratings, private information, and bank monitoring ability

Nakamura, Leonard Isamu; Roszbach, Kasper - 2016

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A coupled Markov chain approach to credit risk modeling

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Overview of central banks' in-house credit assessment systems in the euro area

Auria, Laura; Bingmer, Markus; Caicedo Graciano, Carlos … - 2021

Persistent link: https://www.econbiz.de/10012990461

Overview of central banks' in-house credit assessment systems in the euro area

Auria, Laura; Bingmer, Markus; Caicedo Graciano, Carlos … - 2021

The in-house credit assessment systems (ICASs) developed by euro area national central banks (NCBs) are an important source of credit risk assessment within the Eurosystem collateral framework. They allow counterparties to mobilise as collateral the loans (credit claims) granted to non-financial...