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11
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11
Correlations and business cycles of credit risk : evidence from bankruptcies in Germany
Rösch, Daniel
-
2003
Persistent link: https://www.econbiz.de/10001827234
Saved in:
12
Machine learning for corporate default risk : multi-period prediction, frailty
correlation
, loan portfolios, and tail probabilities
Sigrist, Fabio Roman Albert
;
Leuenberger, Nicola
- In:
European journal of operational research : EJOR
305
(
2023
)
3
,
pp. 1390-1406
Persistent link: https://www.econbiz.de/10013498806
Saved in:
13
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano
;
Pallavicini, Andrea
;
Papatheodorou, …
- In:
International journal of theoretical and applied finance
14
(
2011
)
6
,
pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Saved in:
14
Cyclicality in losses on bank loans
Keijsers, Bart
;
Diris, Bart
;
Kole, Erik
-
2015
profile than bonds, evidence of cyclicality in
bond
losses need not apply to loans. Based on unique data we show that the …
Persistent link: https://www.econbiz.de/10010515860
Saved in:
15
Correlations and Business Cycles of Credit Risk : Evidence from Bankruptcies in Germany
Roesch, Daniel
-
2013
A major topic in empirical finance is
correlation
of default risk. Correlations are the main drivers for credit risk on …
Persistent link: https://www.econbiz.de/10013073402
Saved in:
16
Measuring the covariance risk of consumer debt portfolios
Madeira, Carlos
- In:
Journal of economic dynamics & control
104
(
2019
),
pp. 21-38
Persistent link: https://www.econbiz.de/10012131094
Saved in:
17
Recovery rates, default probabilities and the credit cycle
Bruche, Max
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003525294
Saved in:
18
Recovery rates, default probabilities and the credit cycle
Bruche, Max
(
contributor
); …
-
2006
Persistent link: https://www.econbiz.de/10003392217
Saved in:
19
Do credit market shocks drive output fluctuations? : evidence from corporate spreads and defaults
Meeks, Roland
- In:
Journal of economic dynamics & control
36
(
2012
)
4
,
pp. 568-584
Persistent link: https://www.econbiz.de/10009554335
Saved in:
20
The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates
Roesch, Daniel
-
2013
With the New Basle Capital Accord banks' capital requirements are determined with risk weights based on internal and external ratings and probabilities of default (PD's). PD's are mostly estimated from historical default rates. In recent working papers the Basle Committee on Banking Supervision...
Persistent link: https://www.econbiz.de/10013073399
Saved in:
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