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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
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Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
Jakob, Kevin - In: The journal of credit risk : published quarterly by … 18 (2022) 4, pp. 29-63
Persistent link: https://www.econbiz.de/10014247865
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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
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Probability of default and default correlations
Li, Weiping - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-19
formula for the default correlation via the correlated multivariate process of the first-passage-time default correlation … model. Our structural model encodes the sensitivities of default correlations with respect to the underlying correlation …
Persistent link: https://www.econbiz.de/10011543135
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Estimation of regulatory credit risk models
Pérez Montes, Carlos - In: Journal of financial services research : JFSR 48 (2015) 2, pp. 161-191
Persistent link: https://www.econbiz.de/10011478377
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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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The domino effect of credit defaults : test of asymmetric default correlations using realised default data
Li, Leon; Chen, Carl R. - In: Applied economics 50 (2018) 44, pp. 4803-4813
Persistent link: https://www.econbiz.de/10012061636
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On the cyclicality of default rates of banks : a comparative study of the asset correlation and diversification effects
Blümke, Oliver - In: Journal of empirical finance 47 (2018), pp. 65-77
Persistent link: https://www.econbiz.de/10012103483
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The regime-switching structural default risk model
Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33
and an extension of the MDR model with changes in drift parameters, using maximum likelihood estimation. Focusing on the …
Persistent link: https://www.econbiz.de/10014497430
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Correlations and business cycles of credit risk : evidence from bankruptcies in Germany
Rösch, Daniel - 2003
Persistent link: https://www.econbiz.de/10001827234