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Are banks' internal risk parameters consistent? : evidence from syndicated loans

Firestone, Simon; Rezende, Marcelo - In: Journal of financial services research : JFSR 50 (2016) 2, pp. 211-242

Persistent link: https://www.econbiz.de/10011667854

The impact of PD-LGD correlation on expected loss and economic capital

Van Vuuren, Gary; De Jongh, Riaan; Verster, Tanja - In: International business and economics research journal 16 (2017) 3, pp. 157-170

Persistent link: https://www.econbiz.de/10011965066

Forecasting loss given default of bank loans with multi-stage model

Tanoue, Yuta; Kawada, Akihiro; Yamashita, Satoshi - In: International journal of forecasting 33 (2017) 2, pp. 513-522

Persistent link: https://www.econbiz.de/10011922923

Probability of default and default correlations

Li, Weiping - In: Journal of risk and financial management : JRFM 9 (2016) 3, pp. 1-19

We consider a system where the asset values of firms are correlated with the default thresholds. We first evaluate the probability of default of a single firm under the correlated assets assumptions. This extends Merton’s probability of default of a single firm under the independent asset...

Persistent link: https://www.econbiz.de/10011543135

Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default

Wang, Zheqi; Crook, Jonathan N.; Andreeva, Galina - In: European journal of operational research : EJOR 287 (2020) 2, pp. 725-738

Persistent link: https://www.econbiz.de/10012293945

The impact of lending standards on default rates of residential real estate loans

Gaudêncio, João; Mazany, Agnieszka; Schwarz, Claudia - 2019

This paper analyses the impact of lending standards for residential real estate (RRE) loans on default rates, using a novel loan-level dataset from the European DataWarehouse (EDW) that covers eight euro area countries. To the best of the authors' knowledge, this paper is the first to use, for...

Persistent link: https://www.econbiz.de/10011988415

Validation of corporate probability of default models considering alternative use cases

Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-22

In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting … uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be … emphasized in each case. We build PD models using a long history of large corporate firms sourced from Moody's, with a large …

Persistent link: https://www.econbiz.de/10012698321

Loss given default of high loan-to-value residential mortgages

Qi, Min; Yang, Xiaolong - In: Journal of banking & finance 33 (2009) 5, pp. 788-799

Persistent link: https://www.econbiz.de/10003836413

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111

Persistent link: https://www.econbiz.de/10014540601

Resource and residential mortgage default : theory and evidence from U.S. States

Ghent, Andrea C.; Kudlyak, Marianna - 2009

Persistent link: https://www.econbiz.de/10003860836