The transformation of credit scores into probabilities of default plays an important role in credit risk estimation. The linear logistic regression has developed into a standard calibration approach in the banking sector. With the advent of machine learning techniques in the discriminatory phase...

Section 489 of the German Civil Code anchors a prepayment option in all fixed-rate retail loans with a term of more than 10.5 years. The primary purpose of this paper is to develop an approach for valuing legal prepayment options (LPOs), embedded in 15-year German mortgage loans, at their...

The transformation of credit scores into probabilities of default plays an important role in credit risk estimation. The linear logistic regression has developed into a standard calibration approach in the banking sector. With the advent of machine learning techniques in the discriminatory phase...

The European banking regulation does neither specify a methodology nor a level of confidence for the purpose of quantifying the margin of conservatism for the general estimation error (MoC C) of risk parameter estimates. In order to fill this gap, Casellina et al. (2023) determine the MoC C of...

We employ the log-periodic power law (LPPL) to analyze the late-2000 financial crisis from the perspective of critical phenomena. The main purpose of this study is to examine whether LPPL structures in the development of credit default swap (CDS) spreads can be used for default classification....