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Point-in-time versus through-the-cycle ratings
Aguais, Scott D. (contributor) - In: The Basel handbook : a guide for financial practitioners, (pp. 183-209). 2005
Persistent link: https://www.econbiz.de/10003287277
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Discrimination and mortgage lending in Boston : the effects of model uncertainty
Goenner, Cullen F. - In: The journal of real estate finance and economics 40 (2010) 3, pp. 260-285
Persistent link: https://www.econbiz.de/10003969042
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A realistic approach for estimating and modeling loss given default
Malkani, Rakesh - In: The journal of risk model validation 6 (2012) 2, pp. 103-116
Persistent link: https://www.econbiz.de/10009572300
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A proposal for a validation methodology for the discriminatory power of a rating system over time
Blümke, Oliver - In: The journal of risk model validation 5 (2011) 1, pp. 21-44
Persistent link: https://www.econbiz.de/10009356850
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Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
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Does using time-varying target leverage ratios in structural credit risk models improve their accuracy?
Hui, Cho H.; Wong, Tak-chuen; Lo, Chi-fai; Ming Xi Huang - In: The journal of risk model validation 6 (2012) 3, pp. 27-49
Persistent link: https://www.econbiz.de/10009658577
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A point-in-time-through-the-cycle approach to rating assignment and probability of default calibration
Rubtsov, Mark; Petrov, Alexander - In: The journal of risk model validation 10 (2016) 2, pp. 83-112
Persistent link: https://www.econbiz.de/10011527482
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Bedeutung der Spezifikation für Ratingmodelle
Rönnberg, Michael - 2010
Persistent link: https://www.econbiz.de/10008772341
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Kalibrierung von Ratingsystemen : eine erste Analyse
Breinlinger, Luise; Glogova, Evgenia; Höger, Andreas - In: Finanzmarktstabilitätsbericht (2003), pp. 80-92
Persistent link: https://www.econbiz.de/10001815318
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Discrimination and Mortgage Lending in Boston : The Effects of Model Uncertainty
Goenner, Cullen F. - 2015
In 1992 the Federal Reserve Bank of Boston conducted an analysis that examined the effects of race on mortgage lending in the Boston Metropolitan Statistical Area. Collecting data on all the possibly relevant information used in the lending process, they find when controlling for a subset of...
Persistent link: https://www.econbiz.de/10013039253