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Survival analysis in LGD modeling
Witzany, Jiří; Rychnovský, Michael; Charamza, Pavel - 2010
The paper proposes an application of the survival time analysis methodology to estimations of the Loss Given Default (LGD) parameter. The main advantage of the survival analysis approach compared to classical regression methods is that it allows exploiting partial recovery data. The model is...
Persistent link: https://www.econbiz.de/10003958686
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Support Vector Machine (SVM) as a multivariate statistical technique for the assessment of credit risk : a comparison with classical techniques as linear discriminant analysis and...
Fassbender, Martin; Auria, Laura - In: 30 Jahre Fachhochschule der Deutschen Bundesbank : …, (pp. 375-396). 2010
Persistent link: https://www.econbiz.de/10008806552
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Die optimale Kombination interner und externer Ratings
Casjens, Swaantje; Kramer, Frederik; Mollenhauer, Thomas; … - In: Interne und externe Ratings : das optimale …, (pp. 123-162). 2007
Persistent link: https://www.econbiz.de/10003574377
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Integrated bank risk modeling : a bottom-up statistical framework
Bellini, Tiziano - In: European journal of operational research : EJOR 230 (2013) 2, pp. 385-398
Persistent link: https://www.econbiz.de/10009771828
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Medición de riesgo de crédito : desarrollo de una nueva herramienta
Caballo Trebol, Álvaro - 2013
Persistent link: https://www.econbiz.de/10010229719
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Markov chain Monte Carlo estimation of default and recovery : dependent vial the latent systematic factor
Luo, Xiaolin; Shevchenko, Pavel V. - In: The journal of credit risk : published quarterly by … 9 (2013) 3, pp. 40-76
Persistent link: https://www.econbiz.de/10010239244
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Statistical credit rating methods
Duan, Jin-Chuan; Shrestha, Keshab - In: Global credit review 1 (2011) 1, pp. 43-64
Persistent link: https://www.econbiz.de/10009673424
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Principal component case-based reasoning ensemble for business failure prediction
Li, Hui; Sun, Jie - In: Information & management : the internat. journal of … 48 (2011) 6, pp. 220-227
Persistent link: https://www.econbiz.de/10009273946
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Idiosyncratic risk, systematic risk and stochastic volatility : an implementation of Merton's credit risk valuation
Gatfaoui, Hayette - 2004
Persistent link: https://www.econbiz.de/10002253937
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Les scores de la Banque de France : méthode, résultats, applications, 2004
Bardos, Mireille (contributor) - 2003
Persistent link: https://www.econbiz.de/10002552890