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The regime-switching structural default risk model
Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33
and an extension of the MDR model with changes in drift parameters, using maximum likelihood estimation. Focusing on the …
Persistent link: https://www.econbiz.de/10014497430
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Correlations and business cycles of credit risk : evidence from bankruptcies in Germany
Rösch, Daniel - 2003
Persistent link: https://www.econbiz.de/10001827234
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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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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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Cyclicality in losses on bank loans
Keijsers, Bart; Diris, Bart; Kole, Erik - 2015
profile than bonds, evidence of cyclicality in bond losses need not apply to loans. Based on unique data we show that the …
Persistent link: https://www.econbiz.de/10010515860
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Correlations and Business Cycles of Credit Risk : Evidence from Bankruptcies in Germany
Roesch, Daniel - 2013
A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on …
Persistent link: https://www.econbiz.de/10013073402
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Measuring the covariance risk of consumer debt portfolios
Madeira, Carlos - In: Journal of economic dynamics & control 104 (2019), pp. 21-38
Persistent link: https://www.econbiz.de/10012131094
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Recovery rates, default probabilities and the credit cycle
Bruche, Max (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003525294
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Recovery rates, default probabilities and the credit cycle
Bruche, Max (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003392217
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Do credit market shocks drive output fluctuations? : evidence from corporate spreads and defaults
Meeks, Roland - In: Journal of economic dynamics & control 36 (2012) 4, pp. 568-584
Persistent link: https://www.econbiz.de/10009554335