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A comparison of stochastic def...
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ECONIS (ZBW)
295,537
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1
Probability density of recovery rate given default of a firm's debt and its constituent tranches
Chellathurai, Thamayanthi
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011687002
Saved in:
2
Markov regenerative credit rating model
Pasricha, Puneet
;
Selvamuthu, Dharmaraja
;
Arunachalam, …
- In:
Journal of risk finance : the convergence of financial …
18
(
2017
)
3
,
pp. 311-325
Persistent link: https://www.econbiz.de/10011742799
Saved in:
3
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
Saved in:
4
Estimation
of the probability of default of corporate borrowers
Rylov, Denis V.
;
Shkurkin, Dmitry V.
;
Borisova, Anna A.
- In:
International journal of economics and financial issues …
6
(
2016
)
1
,
pp. 63-67
Persistent link: https://www.econbiz.de/10011780770
Saved in:
5
A new methodology for estimating internal credit risk and bankruptcy prediction under Basel II regime
Naresh Kumar, M.
;
Rao, V. Sree Hari
- In:
Computational economics
46
(
2015
)
1
,
pp. 83-102
Persistent link: https://www.econbiz.de/10011441045
Saved in:
6
Calibration and mapping of credit scores by riding the cumulative accuracy profile
Burgt, Marco van der
- In:
The journal of credit risk : published quarterly by …
15
(
2019
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10012100567
Saved in:
7
Nonlinear relationships in a logistic model of default for a high-default installment portfolio
Lohmann, Christian
;
Ohliger, Thorsten
- In:
The journal of credit risk : published quarterly by …
14
(
2018
)
1
,
pp. 45-68
Persistent link: https://www.econbiz.de/10011885465
Saved in:
8
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
Saved in:
9
The structure of unrevealed bads in good/bad risk scores
Oliver, Robert M.
- In:
Journal of the Operational Research Society : OR
66
(
2015
)
2
,
pp. 308-315
Persistent link: https://www.econbiz.de/10010487517
Saved in:
10
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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