Similar Search Results

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

Green by default

Sunstein, Cass R.; Reisch, Lucia A. - In: Kyklos : international review for social sciences 66 (2013) 3, pp. 398-402

Persistent link: https://www.econbiz.de/10009779963

Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio

Troian, Rafael Rodrigues - In: The journal of credit risk : published quarterly by … 9 (2013) 2, pp. 63-81

Persistent link: https://www.econbiz.de/10009781085

Modelling and forecasting mortgage delinquency and foreclosure in the UK

Aron, Janine; Muellbauer, John - 2016

Persistent link: https://www.econbiz.de/10011451644

Credit scoring and default risk prediction : a comparative study between discriminant analysis & logistic regression

Khemais, Zaghdoudi; Nesrine, Djebali; Mohamed, Mezni - In: International journal of economics and finance 8 (2016) 4, pp. 39-53

Persistent link: https://www.econbiz.de/10011456360

Credit risk and contagion via self-exciting default intensity

Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 3/4, pp. 319-344

Persistent link: https://www.econbiz.de/10011459064

Exposure at default modeling with default intensities

Witzany, Jiří - In: European financial and accounting journal : EFAJ 6 (2011) 4, pp. 20-48

The paper provides an overview of the Exposure at Default (EAD) definition, requirements, and estimation methods as set by the Basel II regulation. A new methodology connected to the intensity of default modeling is proposed. The numerical examples show that various estimation techniques may...

Persistent link: https://www.econbiz.de/10011460072

Exposure at default models with and without the credit conversion factor

Tong, Edward N. C.; Mues, Christophe; Brown, Iain; … - In: European journal of operational research : EJOR 252 (2016) 3, pp. 910-920

Persistent link: https://www.econbiz.de/10011472989

Prices and investment with collateral and default

Magill, Michael; Quinzii, Martine - In: Journal of economic dynamics & control 51 (2015), pp. 111-132

Persistent link: https://www.econbiz.de/10011474274

Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224

Persistent link: https://www.econbiz.de/10011477301