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Local risk minimization of contingent claims simultaneously exposed to endogenous and exogenous default times
Okhrati, Ramin; Karpathopoulos, Nikolaos - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-41
Persistent link: https://www.econbiz.de/10012807897
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The impact of different default triggers on CMBS risk evaluation
Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91
Persistent link: https://www.econbiz.de/10011700690
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Survey of credit risk models in relation to capital adequacy framework for financial institutions
Nacaskul, Poomjai - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 68-84
Persistent link: https://www.econbiz.de/10011673803
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Rating migration and bond valuation : a historical interest rate and default probability term structures
Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39
Persistent link: https://www.econbiz.de/10012053529
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A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
Altman, Edward I. - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 1-34
Persistent link: https://www.econbiz.de/10012041794
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Intertemporal forecasts of defaulted bond recoveries and portfolio losses
Kalotay, Egon A.; Altman, Edward I. - In: Review of finance : journal of the European Finance … 21 (2017) 1, pp. 433-463
Persistent link: https://www.econbiz.de/10011778628
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Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures
Barnard, Brian - In: Expert journal of finance 5 (2017), pp. 49-72
Persistent link: https://www.econbiz.de/10011749658
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Using non-performing loan ratios as default rates in the estimation of credit losses and macroeconomic credit risk stress testing : a case from Turkey
Kucukkocaoglu, Guray; Altintas, M. Ayhan - In: Risk governance & control : financial markets & institutions 6 (2016) 1, pp. 52-63
Persistent link: https://www.econbiz.de/10011656697
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
Jakob, Kevin - In: The journal of credit risk : published quarterly by … 18 (2022) 4, pp. 29-63
Persistent link: https://www.econbiz.de/10014247865