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Validation of corporate probability of default models considering alternative use cases
Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-22
In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting … uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be … emphasized in each case. We build PD models using a long history of large corporate firms sourced from Moody's, with a large …
Persistent link: https://www.econbiz.de/10012698321
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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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A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
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The role of copulas in the housing crisis
Zimmer, David M. - In: The review of economics and statistics 94 (2012) 2, pp. 607-620
Persistent link: https://www.econbiz.de/10009660686
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Flexible estimation of copulas : an application to the US housing crisis
Ho, Anson T. Y.; Huynh, Kim P.; Jacho-Chávez, David T. - In: Journal of applied econometrics 31 (2016) 3, pp. 603-610
Persistent link: https://www.econbiz.de/10011642661
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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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Loss given default for leasing : parametric and nonparametric estimations
Hartmann-Wendels, Thomas; Miller, Patrick; Töws, Eugen - In: Journal of banking & finance 40 (2014), pp. 364-375
Persistent link: https://www.econbiz.de/10010403743
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A point-in-time-through-the-cycle approach to rating assignment and probability of default calibration
Rubtsov, Mark; Petrov, Alexander - In: The journal of risk model validation 10 (2016) 2, pp. 83-112
Persistent link: https://www.econbiz.de/10011527482
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An axiomatic approach to default risk and model uncertainty in rating systems
Nendel, Max; Streicher, Jan - In: Journal of mathematical economics 109 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014474758
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Modeling the credit risk of mortgage loans : a primer
Van Order, Robert (contributor) - 2007
Persistent link: https://www.econbiz.de/10003745203