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Optimal diversification, bank value maximization and default probability

Tsai, Yung-Shun; Lin, Chien-Chih; Chen, Hsiao-Yin - In: Applied economics 47 (2015) 22/24, pp. 2488-2499

Persistent link: https://www.econbiz.de/10010516573

Inferring default correlation from equity return correlation

Liu, Sheen; Qi, Howard; Shi, Jian; Xie, Yan Alice - In: European financial management : the journal of the … 21 (2015) 2, pp. 333-359

Persistent link: https://www.econbiz.de/10010516668

Does modeling framework matter? : a comparative study of structural and reduced-form models

Gündüz, Yalın; Uhrig-Homburg, Marliese - In: Review of derivatives research 17 (2014) 1, pp. 39-78

Persistent link: https://www.econbiz.de/10010519295

Leverage and default in binomial economies : a complete characterization

Fostel, Ana; Geanakoplos, John - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 6, pp. 2191-2229

Persistent link: https://www.econbiz.de/10011431541

Analytical solutions for expected loss and standard deviation of loss with an additional loan

Yamashita, Satoshi; Yoshiba, Toshinao - In: Asia-Pacific financial markets 22 (2015) 2, pp. 113-132

Persistent link: https://www.econbiz.de/10011377519

Can structural models price default risk? : evidence from bond and credit derivative markets

Ericsson, Jan; Reneby, Joel; Wang, Hao - In: The quarterly journal of finance 5 (2015) 3, pp. 1-32

Persistent link: https://www.econbiz.de/10011381483

A volatility-based single parameter Loss Given Default model

Yang, Hank - In: Journal of risk management in financial institutions 8 (2015) 2, pp. 196-210

Persistent link: https://www.econbiz.de/10011306351

Default and systemic risk in equilibrium

Capponi, Agostino; Larsson, Martin - In: Mathematical finance : an international journal of … 25 (2015) 1, pp. 51-76

Persistent link: https://www.econbiz.de/10011347251

The failure of models that predict failure : distance, incentives, and defaults

Rajan, Uday; Seru, Amit; Vig, Vikrant - In: Journal of financial economics 115 (2015) 2, pp. 237-260

Persistent link: https://www.econbiz.de/10011347528

Modeling portfolio defaults using hidden Markov models with covariates

Banachewicz, Konrad; Vaart, Aad W. van der; Lucas, André - 2006

We extend the Hidden Markov Model for defaults of Crowder, Davis, and Giampieri (2005) to include covariates. The covariates enhance the prediction of transition probabilities from high to low default regimes. To estimate the model, we extend the EM estimating equations to account for the time...

Persistent link: https://www.econbiz.de/10011349709