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A comparison of stochastic default rate models
Finger, Christopher C. - In: Frontiers in credit risk : concepts and techniques for …, (pp. 153-178). 2003
Persistent link: https://www.econbiz.de/10001739607
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A deep learning approach to estimate forward default intensities
Divernois, Marc-Aurèle - 2020 - Preliminary draft
default process. The major contribution to previous literature is to allow the estimation of non-linear forward intensities by … using neural networks instead of classical maximum likelihood estimation. The model specification allows an easy replication …
Persistent link: https://www.econbiz.de/10012419329
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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
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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
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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
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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
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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
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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
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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
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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