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An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping; Krehbiel, Timothy L. - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas Maximilian - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379
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Estimating self-exciting models of correlated corporate default
Azizpour, Shahriar - 2008
Persistent link: https://www.econbiz.de/10010247145
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Estimating Default and Recovery Rate Correlations
Witzany, Jiri - 2013
correlation, and dependence on various explanatory variables. At the same time, it allows computing analytically the unexpected …'s default and recovery data. The results confirm existence of significantly positive default and recovery rate correlation. We …
Persistent link: https://www.econbiz.de/10013084106
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Large Correlation Structures in Pools of Defaults : A Large Deviations Analysis
Sowers, Richard - 2009
equivalently, the size of the tail, depend crucially upon the correlation between the assets. We here study the asymptotics of a …
Persistent link: https://www.econbiz.de/10013158840
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Default correlations and large-portfolio credit analysis
Duan, Jin-Chuan; Miao, Weimin - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 4, pp. 536-546
Persistent link: https://www.econbiz.de/10011692400
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Multi-factor default correlation model estimation : enhancement with bootstrapping
Yang, Zhihui; Ray Majumder, Saikat; Shen, Weiwei; Karm, … - In: Journal of risk : JOR 26 (2024) 3, pp. 33-48
Persistent link: https://www.econbiz.de/10014487316
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Equity risk, credit risk, default correlation, and corporate sustainability
Di Bartolomeo, Dan - In: The journal of investing 19 (2010) 4, pp. 128-133
Persistent link: https://www.econbiz.de/10009309137
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Ansatzpunkte für die betriebswirtschaftliche Prüfung und Verbesserung von Ratingsystemen
Bemmann, Martin; Gleißner, Werner - In: Prüfung des Kreditgeschäfts durch die Interne …, (pp. 179-217). 2007
Persistent link: https://www.econbiz.de/10003574533
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Estimating a covariance matrix for market risk management and the case of credit default swaps
Neuberg, Richard; Glasserman, Paul - In: Quantitative finance 19 (2019) 1, pp. 77-92
Persistent link: https://www.econbiz.de/10012194621