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Assessing the estimation uncertainty of default probabilities
Lawrenz, Jochen - In: Kredit und Kapital 41 (2008) 2, pp. 217-238
Persistent link: https://www.econbiz.de/10003742639
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Rating based modeling of credit risk : theory and application of migration matrices
Trueck, Stefan; Račev, Svetlozar T. - 2009
Persistent link: https://www.econbiz.de/10003767855
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Quantile forecasting for credit risk management using possibly misspecified hidden Markov models
Banachewicz, Konrad; Lucas, André - In: Journal of forecasting 27 (2008) 7, pp. 566-586
Persistent link: https://www.econbiz.de/10003779594
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The dynamics of corporate credit risk : an intensity-based econometric analysis
Monteiro, André Antonio - 2008
Persistent link: https://www.econbiz.de/10003775855
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Market-based estimation of default probabilities and its application to financial market surveillance
Chan-Lau, Jorge A. - 2006
Persistent link: https://www.econbiz.de/10003329109
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Fundamentals-based estimation of default probabilities : a survey
Chan-Lau, Jorge A. - 2006
Persistent link: https://www.econbiz.de/10003354354
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Confidence intervals for probabilities of default
Hanson, Samuel G.; Schuermann, Til - In: Journal of banking & finance 30 (2006) 8, pp. 2281-2301
Persistent link: https://www.econbiz.de/10003355794
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Estimating default probabilities implicit in equity prices
Janosi, Tibor; Jarrow, Robert A.; Yildirim, Yildiray - In: The credit market handbook : advanced modeling issues, (pp. 1-38). 2006
Persistent link: https://www.econbiz.de/10003338037
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Quantile forecasting for credit risk management using possibly mis-specified Hidden Markov Models
Banachewicz, Konrad; Lucas, André - 2007
Persistent link: https://www.econbiz.de/10003482655
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(Non) consistency of the beta kernel estimator for recovery rate distribution
Gouriéroux, Christian; Monfort, Alain - 2006
Persistent link: https://www.econbiz.de/10003468607