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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Dependence of defaults and recoveries in structural credit risk models
Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10009702275
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Quantitative methods in economics and finance
Kliestik, Tomas (ed.); Valaskova, Katarina (ed.);  … - 2021
The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...
Persistent link: https://www.econbiz.de/10012586709
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A new methodology for estimating internal credit risk and bankruptcy prediction under Basel II regime
Naresh Kumar, M.; Rao, V. Sree Hari - In: Computational economics 46 (2015) 1, pp. 83-102
Persistent link: https://www.econbiz.de/10011441045
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Efficient computation of Value-at-Risk and Expected Shortfall in large and heterogeneous credit portfolios: application to default risk charge
Lehdili, Noureddine; Givi, Arshia - In: Risk and decision analysis 7 (2018) 3/4, pp. 91-105
Persistent link: https://www.econbiz.de/10012174432
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Forecasting probabilities of default and loss rates given default in the presence of selection
Rösch, Daniel; Scheule, Harald - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 393-407
Persistent link: https://www.econbiz.de/10010251696
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Intertemporal forecasts of defaulted bond recoveries and portfolio losses
Kalotay, Egon A.; Altman, Edward I. - In: Review of finance : journal of the European Finance … 21 (2017) 1, pp. 433-463
Persistent link: https://www.econbiz.de/10011778628
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Reliability and accuracy of alternative default prediction models : evidence from Slovakia
Rybárová, Daniela; Majdúchová, Helena; Štetka, Peter; … - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-33
The aim of this paper is to assess the reliability of alternative default prediction models in local conditions, with … subsequent comparison with other generally known and globally disseminated default prediction models, such as Altman's Z …: construction, retail, and tourism, using alternative default prediction models, such as CH-index, G-index, Binkert's Model, HGN2 …
Persistent link: https://www.econbiz.de/10012698358
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Using cutting-edge tree-based stochastic models to predict credit risk
Halteh, Khaled; Kumar, Kuldeep; Gepp, Adrian - In: Risks 6 (2018) 2, pp. 1-13
Credit risk is a critical issue that affects banks and companies on a global scale. Possessing the ability to accurately predict the level of credit risk has the potential to help the lender and borrower. This is achieved by alleviating the number of loans provided to borrowers with poor...
Persistent link: https://www.econbiz.de/10011996613
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Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475
Persistent link: https://www.econbiz.de/10011436713