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Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio
Czado, Claudia (contributor); Pflüger, Carolin (contributor) - 2006
credit ratings further apart decreases and is higher than the one induced by the autoregressive time dynamics. -- credit risk …
Persistent link: https://www.econbiz.de/10003422231
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Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen
Hamerle, Alfred; Knapp, Michael; Wildenauer, Nicole - 2005
Persistent link: https://www.econbiz.de/10003228299
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Kreditportfoliorisikomodelle : wie tragfähig ist eigentlich die Datenbasis?
Meyer zu Selhausen, Hermann - In: Rechnungslegung, Steuerung und Aufsicht von Banken : …, (pp. 433-444). 2004
Persistent link: https://www.econbiz.de/10002151985
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Machine learning for corporate default risk : multi-period prediction, frailty correlation, loan portfolios, and tail probabilities
Sigrist, Fabio Roman Albert; Leuenberger, Nicola - In: European journal of operational research : EJOR 305 (2023) 3, pp. 1390-1406
Persistent link: https://www.econbiz.de/10013498806
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Predicting sovereign credit ratings for portfolio stress testing
Campino, Jonas de Oliveira; Galizia, Frederico; … - In: Journal of risk management in financial institutions 14 (2020/2021) 3, pp. 229-241
Persistent link: https://www.econbiz.de/10012650468
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Bankcruptcy prediction model used in credit risk management
Rankov, Siniša; Kotlica, Slobodan - In: Megatrend revija 10 (2013) 4, pp. 37-58
Persistent link: https://www.econbiz.de/10010345422
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Estimating loss-given default through advanced credibility theory
Bonini, Stefano; Caivano, Giuliana - In: The European journal of finance 22 (2016) 13/15, pp. 1351-1362
Persistent link: https://www.econbiz.de/10011715432
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Performance of default-risk measures : the sample matters
Abinzano, Isabel; Gonzalez-Urteaga, Ana; Muga, Luis; … - In: Journal of banking & finance 120 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012521486
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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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Credit risk prediction : a comparative study between discriminant analysis and the neural network approach
Khemakhem, Sihem; Boujelbène, Younés - In: Journal of accounting & management information systems … 14 (2015) 1, pp. 60-78
Banks are concerned with the assessment of the risk of financial distress before giving out a loan. Many researchers … payment risk the companies asking for a loan. This work is motivated by the insufficiency of traditional prevision models. The …
Persistent link: https://www.econbiz.de/10011311150