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The Empirical Relation between Credit Quality, Recovery, and Correlation

Roesch, Daniel - 2009

empirical analysis provides evidence for the inferred relationship between credit quality, recovery and correlation …

Persistent link: https://www.econbiz.de/10013156612

Systematic credit risk in securitised mortgage portfolios

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012659310

The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default …

Persistent link: https://www.econbiz.de/10003846062

Modeling dependent credit rating transitions : a comparison of coupling schemes and empirical evidence

Boreiko, D. V.; Kaniovski, Yuri M.; Pflug, Georg - In: Central European journal of operations research : CEJOR … 24 (2016) 4, pp. 989-1007

Persistent link: https://www.econbiz.de/10011694781

Forecasting mortgage defaults : evidence from UK portfolio-level data

Makropoulos, Alexios; Savvopoulos, Anastasios; Jones, … - In: International journal of computational economics and … 5 (2015) 2, pp. 199-210

Persistent link: https://www.econbiz.de/10011342888

An analysis of the determinants of S&P ratings assigned to Canadian firms : application of a multinomial logit

Amdouni, Walid; Soumaré, Issouf - In: Journal of risk management in financial institutions 7 (2014) 4, pp. 353-369

Persistent link: https://www.econbiz.de/10011346969

Explaining corporate credit default rates with sector level detail

Gertler, Lubomira; Jancovicova-Bognarova, Kristina; … - In: Finance a úvěr 70 (2020) 2, pp. 96-120

Persistent link: https://www.econbiz.de/10012483206

Non-Performing loans for Italian companies : when time matters. an empirical research on estimating probability to default and loss given default

Orlando, Guiseppe; Pelosi, Roberta - In: International Journal of Financial Studies : open … 8 (2020) 4/68, pp. 1-22

Within bank activities, which is normally defined as the joint exercise of savings collection and credit supply, risk-taking is natural, as in many human activities. Among risks related to credit intermediation, credit risk assumes particular importance. It is most simply defined as the...

Persistent link: https://www.econbiz.de/10012321142

Resolution of defaulted loan contracts : an empirical analysis of default resolution time and loss given default

Betz, Jennifer - 2018

Persistent link: https://www.econbiz.de/10012198130

Estimation of the probability of default of corporate borrowers

Rylov, Denis V.; Shkurkin, Dmitry V.; Borisova, Anna A. - In: International journal of economics and financial issues … 6 (2016) 1, pp. 63-67

Persistent link: https://www.econbiz.de/10011780770