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subject:"Basel Accord"
~isPartOf:"The journal of risk model validation"
~subject:"Credit"
~subject:"Estimation"
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Basel Accord
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credit scoring
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Rubtsov, Mark
2
Blümke, Oliver
1
Cespedes, Juan Carlos Garcia
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Du, Zunwei
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Herrero, Juan Antonio de Juan
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Jortzik, Stephan
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Miu, Peter
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Ozdemir, Bogie
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Rosen, Dan
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The journal of risk model validation
Journal of banking & finance
43
NBER Working Paper
13
NBER working paper series
13
Working paper / National Bureau of Economic Research, Inc.
13
Finanz-Betrieb : FB ; Zeitschrift für Unternehmensfinanzierung und Finanzmanagement
12
Journal of financial economics
12
The review of financial studies
11
Zeitschrift für das gesamte Kreditwesen : Pflichtblatt der Frankfurter Wertpapierbörse
10
Applied economics
9
Discussion paper / Centre for Economic Policy Research
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Discussion paper / Deutsche Bundesbank
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Bank-Archiv : Zeitschrift für das gesamte Bank- und Börsenwesen : journal of banking and financial research
8
CFS working paper series
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Finance and economics discussion series
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The journal of credit risk : published quarterly by Incisive Media
8
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Discussion papers / CEPR
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Working papers / Federal Reserve Bank of Philadelphia, Research Department
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Die Bank
6
Finance research letters
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Journal of international financial markets, institutions & money
6
Journal of money, credit and banking : JMCB
6
Journal of risk management in financial institutions
6
Pacific-Basin finance journal
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Research in international business and finance
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SpringerLink / Bücher
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Applied economics letters
5
Bundesbank Series 2 Discussion Paper
5
International journal of forecasting
5
International review of financial analysis
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Journal of accounting & economics
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Journal of economics & business
5
Journal of international money and finance
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Journal of the Operational Research Society : OR
5
Review of quantitative finance and accounting
5
Sveriges Riksbank working paper series
5
The journal of fixed income
5
Unternehmensbewertung und Basel II in kleinen und mittleren Unternehmen
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ECONIS (ZBW)
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Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
Rubtsov, Mark
- In:
The journal of risk model validation
15
(
2021
)
4
,
pp. 51-74
Persistent link: https://www.econbiz.de/10013173372
Saved in:
2
Benchmarking loss given default discount rates
Scheule, Harald
;
Jortzik, Stephan
- In:
The journal of risk model validation
14
(
2020
)
3
,
pp. 53-96
Persistent link: https://www.econbiz.de/10014336010
Saved in:
3
A point-in-time-through-the-cycle approach to rating assignment and probability of default calibration
Rubtsov, Mark
;
Petrov, Alexander
- In:
The journal of risk model validation
10
(
2016
)
2
,
pp. 83-112
Persistent link: https://www.econbiz.de/10011527482
Saved in:
4
Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian
;
Du, Zunwei
- In:
The journal of risk model validation
9
(
2015
)
2
,
pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
Saved in:
5
A proposal for a validation methodology for the discriminatory power of a rating system over time
Blümke, Oliver
- In:
The journal of risk model validation
5
(
2011
)
1
,
pp. 21-44
Persistent link: https://www.econbiz.de/10009356850
Saved in:
6
Effective modeling of wrong way risk, counterparty credit risk capital, and alpha in Basel II
Cespedes, Juan Carlos Garcia
;
Herrero, Juan Antonio de Juan
- In:
The journal of risk model validation
4
(
2010/11
)
1
,
pp. 71-98
Persistent link: https://www.econbiz.de/10003971978
Saved in:
7
Stress-testing probability of default and migration rate with respect to Basel II requirements
Miu, Peter
;
Ozdemir, Bogie
- In:
The journal of risk model validation
3
(
2009/10
)
4
,
pp. 3-38
Persistent link: https://www.econbiz.de/10009262130
Saved in:
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