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Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
Jakob, Kevin - In: The journal of credit risk : published quarterly by … 18 (2022) 4, pp. 29-63
Persistent link: https://www.econbiz.de/10014247865
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Estimating the probabilities of default under the assumption of unobserved heterogeneity
Oded, Jacob; Venezia, Itzhak - 2024
Persistent link: https://www.econbiz.de/10015050045
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Inferring default correlation from equity return correlation
Liu, Sheen; Qi, Howard; Shi, Jian; Xie, Yan Alice - In: European financial management : the journal of the … 21 (2015) 2, pp. 333-359
Persistent link: https://www.econbiz.de/10010516668
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Estimation of regulatory credit risk models
Pérez Montes, Carlos - In: Journal of financial services research : JFSR 48 (2015) 2, pp. 161-191
Persistent link: https://www.econbiz.de/10011478377
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The domino effect of credit defaults : test of asymmetric default correlations using realised default data
Li, Leon; Chen, Carl R. - In: Applied economics 50 (2018) 44, pp. 4803-4813
Persistent link: https://www.econbiz.de/10012061636
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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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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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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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Research on corporate bond risk premium and default based on voluntary dual ratings selection
Yu, Qianlong; Xiao, Xiaoyi; Lin, Yimin - In: Emerging markets, finance & trade : a journal of the … 59 (2023) 6, pp. 1690-1706
Persistent link: https://www.econbiz.de/10014289783