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Using cutting-edge tree-based stochastic models to predict credit risk

Halteh, Khaled; Kumar, Kuldeep; Gepp, Adrian - In: Risks : open access journal 6 (2018) 2, pp. 1-13

Credit risk is a critical issue that affects banks and companies on a global scale. Possessing the ability to accurately predict the level of credit risk has the potential to help the lender and borrower. This is achieved by alleviating the number of loans provided to borrowers with poor...

Persistent link: https://www.econbiz.de/10011867384

Capacity of neural networks and discriminant analysis in classifying potential debtors

Piasecki, Krzysztof; Wójcicka-Wójtowicz, Aleksandra - In: Folia oeconomica Stetinensia : FOS 17 (2017) 2, pp. 129-143

Persistent link: https://www.econbiz.de/10011931015

Resolution of defaulted loan contracts : an empirical analysis of default resolution time and loss given default

Betz, Jennifer - 2018

Persistent link: https://www.econbiz.de/10012198130

A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies

Altman, Edward I. - In: The journal of credit risk : published quarterly by … 14 (2018) 4, pp. 1-34

Persistent link: https://www.econbiz.de/10012041794

A macroeconomic model of credit risk in Uruguay

Illanes, Gabriel; Peña Sánchez, Alejandro Rubén; … - In: Revista brasileira de economia : RBE ; revista da … 70 (2016) 4, pp. 441-455

Persistent link: https://www.econbiz.de/10011787685

Intertemporal forecasts of defaulted bond recoveries and portfolio losses

Kalotay, Egon A.; Altman, Edward I. - In: Review of finance : journal of the European Finance … 21 (2017) 1, pp. 433-463

Persistent link: https://www.econbiz.de/10011778628

Credit ratings and credit risk : is one measure enough?

Hilscher, Jens; Wilson, Mungo - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3414-3437

Persistent link: https://www.econbiz.de/10011760509

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

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

Merton's model with recovery risk

Cohen, Albert; Costanzino, Nick - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 93-118

Persistent link: https://www.econbiz.de/10014546392