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Entropy method of constructing a combined model for improving loan default prediction : a case study in China
Li, Yiheng; Chen, Weidong - In: Journal of the Operational Research Society 72 (2021) 5, pp. 1099-1109
Persistent link: https://www.econbiz.de/10012588840
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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas Maximilian - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379
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Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling
Ardia, David; Guerrouaz, Anas; Rey, Jeanne - In: Assurances et gestion des risques : revue trimestrielle 83 (2016) 3/4, pp. 115-133
Persistent link: https://www.econbiz.de/10011637834
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Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong; Huang, Wen-Li - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
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Stress testing and model validation : application of the Bayesian approach to a credit risk portfolio
Jacobs, Michael <Jr.>; Karagozoglu, Ahmet K.; … - In: The journal of risk model validation 9 (2015) 3, pp. 41-70
Persistent link: https://www.econbiz.de/10011410323
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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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Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge
Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105
Persistent link: https://www.econbiz.de/10012174432
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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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Zeitstetige und -diskrete dynamische Kreditportfoliomodellierung : ein Vergleich verschiedener Modelle
Avak, Britt-Kerstin - 2011 - 1. Aufl.
Persistent link: https://www.econbiz.de/10009412405