Similar Search Results

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

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

Kiefer, Nicholas M. - In: Econometric reviews 36 (2017) 6/9, pp. 699-712

Persistent link: https://www.econbiz.de/10011795379

Mortgages : estimating default correlation and forecasting default risk

Neumann, Tobias - 2018

Persistent link: https://www.econbiz.de/10011914364

Bond defaults in China : using machine learning to make predictions

Cui, Bei; Ge, Li; Grecov, Priscila - In: International review of finance : the official journal … 25 (2025) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10015334622

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

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

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

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

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