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Estimating the probabilities of default under the assumption of unobserved heterogeneity

Oded, Jacob; Venezia, Itzhak - 2024

Persistent link: https://www.econbiz.de/10015050045

Predicting forward default probabilities of firms : a discrete-time forward hazard model with firm-specific frailty

Hwang, Ruey-Ching; Chen, Yi-Chi - In: Quantitative finance 24 (2024) 7, pp. 909-919

Persistent link: https://www.econbiz.de/10015050805

Predicting the cure of a defaulted company : nonlinear relationships between loan-related variables and the cure probability

Lohmann, Christian; Ohliger, Thorsten - In: Research in international business and finance 70 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015056829

Predicting the cure of a defaulted company : nonlinear relationships between loan-related variables and the cure probability

Lohmann, Christian; Ohliger, Thorsten - In: Research in international business and finance 70 (2024) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10015056485

Distance to default and probability of defaultdan experimental study

Dar, Amir Ahmad; Qadir, Shahid - In: Journal of Global Entrepreneurship Research : JGER 9 (2019) 32, pp. 1-12

The distance to default (DD) and the probability of default (PD) are the essential credit risks in the finance world. It provides an estimate of the likelihood that a borrower will be unable to meet its debt obligations. It is crucial to know which parameter effects more on DD and PD so that...

Persistent link: https://www.econbiz.de/10011989685

New ways of modeling loan-to-income distributions and their evolution in time : a probability copula approach

Gerth, Florian; Temnov, Grigory - In: International review of economics & finance : IREF 71 (2021), pp. 217-236

Persistent link: https://www.econbiz.de/10012627775

Stress testing for retail mortgages based on probability analysis

Liu, Chang; Nassar, Raja - In: Computational economics 53 (2019) 1, pp. 433-455

Persistent link: https://www.econbiz.de/10012134696

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

The multivariate option iPoD framework : assessing systemic financial risk

Matros, Philipp; Vilsmeier, Johannes - 2014

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

Persistent link: https://www.econbiz.de/10010405480

Financial derivatives and default dependence : a time-varying copula approach

Zhang, Xuan; Liu, Ding; Zhao, Yang; Zhang, Zhekai - In: Applied economics letters 28 (2021) 11, pp. 958-963

Persistent link: https://www.econbiz.de/10012589711