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Asset prices and banking distress : a macroeconomic approach
Von Peter, Goetz - 2004
Persistent link: https://www.econbiz.de/10002572940
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What do we know about loss given default?
Schuermann, Til - In: Credit risk models and management, (pp. 249-274). 2004
Persistent link: https://www.econbiz.de/10002432527
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An empirical evaluation of structural credit risk models
Tarashev, Nikola A. - 2005
Persistent link: https://www.econbiz.de/10003049977
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Credit risk in the traditional banking book : a VaR approach under correlated defaults
Zazzara, Cristiano - In: Research in banking and finance 2 (2002), pp. 355-384
Persistent link: https://www.econbiz.de/10001684700
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Correlations and business cycles of credit risk : evidence from bankruptcies in Germany
Rösch, Daniel - 2003
Persistent link: https://www.econbiz.de/10001827234
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The empirical relationship between average asset correlation, firm probability of default, and asset size
López, José A. - In: Journal of financial intermediation 13 (2004) 2, pp. 265-283
Persistent link: https://www.econbiz.de/10002062671
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What do we know about loss given default?
Schuermann, Til (contributor) - 2004 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001944584
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The empirical relationship between average asset correlation, firm probability of default and asset size
López, José A. (contributor) - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001676187
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Estimating Probability of Default and Comparing It to Credit Rating Classification by Banks
Volk, Matjaz - 2013
Credit risk is the main risk in the banking sector and is as such one of key issues for financial stability. We estimate various PD models and use them in the application to credit rating classification. Models include firm specific characteristics and macroeconomic or time effects. By linking...
Persistent link: https://www.econbiz.de/10013090960