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Modeling loss given default with stochastic collateral
Frontczak, Robert; Rostek, Stefan - In: Economic modelling 44 (2015), pp. 162-170
Persistent link: https://www.econbiz.de/10011326261
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A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
Maciag, Jakob; Löderbusch, Matthias - In: The journal of credit risk : published quarterly by … 13 (2017) 4, pp. 37-74
Persistent link: https://www.econbiz.de/10012041612
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The impact of asset price bubbles on credit risk measures
Jacobs, Michael <Jr.> - In: Inventi impact: emerging economies (2016) 3, pp. 160-175
Persistent link: https://www.econbiz.de/10011567800
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Bank stress testing : a stochastic simulation framework to assess banks' financial fragility
Montesi, Giuseppe; Papiro, Giovanni - In: Risks : open access journal 6 (2018) 3, pp. 1-54
We present a stochastic simulation forecasting model for stress testing that is aimed at assessing banks’ capital adequacy, financial fragility, and probability of default. The paper provides a theoretical presentation of the methodology and the essential features of the forecasting model on...
Persistent link: https://www.econbiz.de/10011890804
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A stochastic loss given default model of Hungarian residential mortgages
Várgedő, Bálint - In: Acta oeconomica : periodical of the Hungarian Academy … 74 (2024) 3, pp. 299-327
Persistent link: https://www.econbiz.de/10015084289
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Fair valuation of mortgage insurance under stochastic default and interest rates
Wu, Yang-Che; Huang, Yi-Ting; Lin, Shih-kuei; Chuang, … - In: The North American journal of economics and finance : a … 42 (2017), pp. 433-447
Persistent link: https://www.econbiz.de/10011938144
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The role of interest rate environment in mortgage pricing
Ahmad, Ferhana; Shehzad, Choudhry Tanveer - In: International review of economics & finance : IREF 89 (2024) 1, pp. 225-245
Persistent link: https://www.econbiz.de/10014446428
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Valuation of mortgages by using Lévy models
Chiang, Shu Ling; Tsai, Ming-shann - In: Journal of real estate research : JRER ; a publication … 46 (2024) 1, pp. 25-54
Persistent link: https://www.econbiz.de/10014582188
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Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
Kaposty, Florian; Löderbusch, Matthias; Maciag, Jakob - In: The journal of credit risk : published quarterly by … 13 (2017) 1, pp. 95-123
Persistent link: https://www.econbiz.de/10011670772
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An analysis of simultaneous company defaults using a shot noise process
Egami, M.; Kevkhishvili, R. - In: Journal of banking & finance 80 (2017), pp. 135-161
Persistent link: https://www.econbiz.de/10011816249