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Dynamic modeling of credit portfolio risk with time-discrete Hzard rates
Hamerle, Alfred - 2002
Persistent link: https://www.econbiz.de/10013408266
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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Forecasting the equity risk premium in the Korean stock market : a factor analysis approach
Chun, Sungju - In: Global business and finance review 26 (2021) 4, pp. 77-89
dynamic factor analysis. Design/methodology/approach: This article collects monthly data on the equity risk premium on the … statistically and economically significant in-sample predictability for the future equity risk premium for the KOSPI, as strongly as … deliver better forecasts of the future equity risk premium. Research limitations/implications: There exist different …
Persistent link: https://www.econbiz.de/10013197293
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Modellierung von mehrjährigen Kreditausfallrisiken
Jobst, Rainer - 2008
Persistent link: https://www.econbiz.de/10003635736
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Surprise and uncertainty indexes : real-time aggregation of real-activity macro-surprises
Scotti, Chiara - In: Journal of monetary economics 82 (2016), pp. 1-19
Persistent link: https://www.econbiz.de/10011709471
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Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries
Kutuk, Yasin; Barokas, Lina - In: Finance research letters 45 (2022), pp. 1-8
Persistent link: https://www.econbiz.de/10014581639
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CDS risk premia forecasting with multi-featured deep RNNs : an application on BR[I]CS countries
Kutuk, Yasin - In: Borsa Istanbul Review 23 (2023) 6, pp. 1380-1398
Using state-of-the-art recurrent neural network architectures, this study attempts to predict credit default swap risk …
Persistent link: https://www.econbiz.de/10014447473
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Macroeconomic impact on expected default frequency
Åsberg, Per (contributor); Shahnazarian, Hovick (contributor) - 2008
We use a vector error correction model to study the long-term relationship between aggregate expected default frequency and the macroeconomic development, i.e. CPI, industry production and short-term interest rate. The model is used to forecast the median expected default frequency of the...
Persistent link: https://www.econbiz.de/10003618542
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Forecasting cross-sections of frailty-correlated default
Koopman, Siem Jan; Lucas, André; Schwaab, Bernd - 2008
using dynamic factors from a large panel of selected macroeconomic and financial data as well as common unobserved risk …
Persistent link: https://www.econbiz.de/10011374412
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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas Maximilian - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379