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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

An Empirical Study of the Returns on Defaulted Debt and the Discount Rate for Loss-Given-Default

Jacobs, Michael - 2010

Persistent link: https://www.econbiz.de/10013152416

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

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

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

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

Die Risikostruktur von Industrieanleihen : eine ökonometrische Untersuchung unter Verwendung ordinaler Kredit-Ratings

Tessin, Peter von - 1999

Persistent link: https://www.econbiz.de/10001370932

Market microstructure effects on firm default risk evaluation

Barsotti, Flavia; Sanfelici, Simona - In: Econometrics : open access journal 4 (2016) 3, pp. 1-31

estimation plays a key role in its evaluation. Assuming a structural credit risk modeling approach, we study the impact of … effects of different non-parametric estimation techniques on default probability evaluation. The impact of the non …

Persistent link: https://www.econbiz.de/10011506497

Spread term structure and default correlation

Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223

Persistent link: https://www.econbiz.de/10011592744

Explaining credit ratings through a perpetual-debt structural model

Barone, Gaia - In: The journal of credit risk : published quarterly by … 17 (2021) 2, pp. 1-25

Persistent link: https://www.econbiz.de/10012671409

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