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The systematic and idiosyncratic modules of bankruptcy risk
Parnes, Dror - In: The journal of credit risk : published quarterly by … 5 (2009/10) 1, pp. 25-46
Persistent link: https://www.econbiz.de/10003853282
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Anisotropic credit scheme for municipal revenue bonds
Parnes, Dror - In: The journal of fixed income 20 (2010/11) 4, pp. 91-99
Persistent link: https://www.econbiz.de/10009007988
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A credit value adjustment scheme for bank loan portfolios
Parnes, Dror - In: The journal of credit risk : published quarterly by … 10 (2014) 2, pp. 39-68
Persistent link: https://www.econbiz.de/10010385999
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Dynamic risk model for CMO with credit tranching
Parnes, Dror - In: International journal of financial engineering 2 (2015) 4, pp. 1-15
Persistent link: https://www.econbiz.de/10011493318
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Modeling the contagion of bank runs with a Markov model
Parnes, Dror - In: The quarterly review of economics and finance : journal … 81 (2021), pp. 174-187
Persistent link: https://www.econbiz.de/10012656282
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A spline hazard model for current expected credit losses
Parnes, Dror - In: Journal of financial economic policy 14 (2022) 3, pp. 283-316
Persistent link: https://www.econbiz.de/10013287809
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Approximating default probabilities with soft information
Parnes, Dror - In: The journal of credit risk : published quarterly by … 8 (2012) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10009539248
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Bayesian synthesis of portfolio credit risk with missing ratings
Parnes, Dror - In: Journal of risk 18 (2015/2016) 1, pp. 45-69
Persistent link: https://www.econbiz.de/10013262945
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Determining the economic value of ambiguous loan portfolios
Parnes, Dror - In: Finance research letters 13 (2015), pp. 148-154
Persistent link: https://www.econbiz.de/10011552459