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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling

Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518

Persistent link: https://www.econbiz.de/10012624151

Pro-cyclicality, empirical credit cycles, and capital buffer formation

Koopman, Siem Jan; Lucas, André; Klaassen, Pieter - 2002

Persistent link: https://www.econbiz.de/10001718549

Kiefer, Nicholas Maximilian - In: Econometric reviews 36 (2017) 6/9, pp. 699-712

Persistent link: https://www.econbiz.de/10011795379

A novel default risk prediction and feature importance analysis technique for marketplace lending using machine learning

Imam, Sana Hassan; Huhn, Sebastian; Hornuf, Lars; … - In: Credit and capital markets : Kredit und Kapital 56 (2023) 1, pp. 27-62

Marketplace lending has fundamentally changed the relationship between borrowers and lenders in financial markets. As with many other financial products that have emerged in recent years, internet-based investors may be inexperienced in marketplace lending, highlighting the importance of...

Persistent link: https://www.econbiz.de/10014518604

A business cycle approach to rating based credit risk modeling

Trück, Stefan - 2005

Persistent link: https://www.econbiz.de/10003734838

Macroeconomic impact on expected default frequency

Åsberg, Per (contributor); Shahnazarian, Hovick (contributor) - 2008

developments. Evaluations of the model show that it yields low forecast errors in terms of RMSE. The estimation results indicate …

Persistent link: https://www.econbiz.de/10003618542

Variability of dynamic correlation : the evidence of sector-specific shocks in V4 countries

Poměnková, Jitka; Kapounek, Svatopluk; Maršálek, Roman - In: Prague economic papers : a bimonthly journal of … 23 (2014) 3, pp. 371-387

Persistent link: https://www.econbiz.de/10011285620

Joint smoothing of GDP and unemployment with a bivariate HP filter

Islas-Camargo, Alejandro; Guerrero, Víctor M. - In: Estudios económicos 34 (2019) 67, pp. 3-24

Persistent link: https://www.econbiz.de/10012166118

Modellierung von mehrjährigen Kreditausfallrisiken

Jobst, Rainer - 2008

Persistent link: https://www.econbiz.de/10003635736

Time series properties of a rating system based on financial ratios

Krüger, Ulrich (contributor); Stötzel, Martin (contributor) - 2005

In this paper, we show the importance of accounting for heterogeneity among sample firms in stochastic frontier analysis. For a fairly homogenous sample of German savings and cooperative banks, we analyze how alternative theoretical assumptions regarding the nature of heterogeneity can be...

Persistent link: https://www.econbiz.de/10003210588

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