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Informed bond trading, corporate yield spreads, and corporate default prediction
Han, Song; Zhou, Xing - In: Management science : journal of the Institute for … 60 (2014) 3, pp. 675-694
Persistent link: https://www.econbiz.de/10010347894
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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas M. - 2009
temporal correlation in default rates through autocorrelation in the systemic factor. Implications for the predictability of …. A robustness exercise, weakening the prior on the asset correlation, illustrates that the correlation indicated by the …
Persistent link: https://www.econbiz.de/10008649673
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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas M. - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379
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Mortgages : estimating default correlation and forecasting default risk
Neumann, Tobias - 2018
Persistent link: https://www.econbiz.de/10011914364
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Default forecasting considering correlation between business and credit cycles
Kanno, Masayasu - In: Journal of applied finance & banking 2 (2012) 5, pp. 275-305
correlation between the business and credit cycles. And we decompose the business cycle into a trend and a cycle using Hodrick …
Persistent link: https://www.econbiz.de/10009673680
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Credit ratings and credit risk : is one measure enough?
Hilscher, Jens; Wilson, Mungo - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3414-3437
Persistent link: https://www.econbiz.de/10011760509
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Forecasting probabilities of default and loss rates given default in the presence of selection
Rösch, Daniel; Scheule, Harald - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 393-407
Persistent link: https://www.econbiz.de/10010251696
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Comparing the accuracy of default predictions in the rating industry : The case of Moody's vs. S&P
Krämer, Walter; Güttler, André - 2003
their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show …
Persistent link: https://www.econbiz.de/10010509832
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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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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