Search Results - subject:"\"Default\" model"

Probability of default models of Russian banks

Peresetsky, Anatoly; Karminsky, Alexandr; Golovan, Sergei - 2004

defaults.Binary choice models are estimated to construct the probability of default model. We find that preliminary expert …

Persistent link: https://www.econbiz.de/10012148482

Probability of default models of Russian banks

Peresetsky, Anatoly A.; Karminsky, Alexandr A.; … - Siirtymätalouksien tutkimuslaitos, Suomen Pankki - 2004

defaults. Binary choice models are estimated to construct the probability of default model. We find that preliminary expert …

Persistent link: https://www.econbiz.de/10005648605

Probability of default models of Russian banks

Peresetsky, Anatoly; Karminsky, Alexandr; Golovan, Sergei - In: Economic Change and Restructuring 44 (2011) 4, pp. 297-334

Persistent link: https://www.econbiz.de/10009401750

A TRACTABLE MULTIVARIATE DEFAULT MODEL BASED ON A STOCHASTIC TIME-CHANGE

MAI, JAN-FREDERIK; SCHERER, MATTHIAS - In: International Journal of Theoretical and Applied … 12 (2009) 02, pp. 227-249

A stochastic time-change is applied to introduce dependence to a portfolio of credit-risky assets whose default times are modeled as random variables with arbitrary distribution. The dependence structure of the vector of default times is completely separated from its marginal default...

Persistent link: https://www.econbiz.de/10005000036