EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Default Probability"
Narrow search

Narrow search

Year of publication
Subject
All
default probability 141 Credit risk 137 Kreditrisiko 117 Theorie 75 Default probability 70 Insolvenz 70 Theory 69 Insolvency 68 credit risk 38 Wahrscheinlichkeitsrechnung 34 Probability theory 33 Kreditwürdigkeit 28 Basel Accord 26 Basler Akkord 25 Credit rating 25 Bank risk 24 Prognoseverfahren 24 Bankrisiko 23 Forecasting model 21 Option pricing theory 21 Optionspreistheorie 21 Portfolio-Management 21 Schätzung 21 Portfolio selection 20 Credit derivative 17 Kreditderivat 17 Bank lending 16 Kreditgeschäft 16 Default Probability 15 Estimation 15 Risiko 15 Risk 15 Risk management 15 Risikomanagement 14 Financial crisis 13 Zinsstruktur 13 Bank regulation 12 Country risk 12 Yield curve 12 Finanzkrise 11
more ... less ...
Online availability
All
Free 138 Undetermined 87 CC license 10
Type of publication
All
Article 166 Book / Working Paper 110
Type of publication (narrower categories)
All
Article in journal 102 Aufsatz in Zeitschrift 102 Working Paper 42 Graue Literatur 23 Non-commercial literature 23 Arbeitspapier 20 Article 14 research-article 4 Thesis 3 Aufsatzsammlung 1 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1 Research Report 1
more ... less ...
Language
All
English 187 Undetermined 79 Spanish 7 German 1 French 1 Lithuanian 1
Author
All
Xiao, Tim 8 Jin, Xisong 7 Schäfer, Dorothea 7 Torricelli, Costanza 6 Fantazzini, Dean 5 Härdle, Wolfgang Karl 5 Moro, Rouslan A. 5 Pederzoli, Chiara 5 Polito, Vito 5 Andrlíková, Petra 4 Byström, Hans 4 Hilscher, Jens 4 Härdle, Wolfgang 4 Wickens, Michael R. 4 Ampudia, Miguel 3 Andrlikova, Petra 3 Battiston, Stefano 3 Busetto, Filippo 3 Chen, Wei-ling 3 Dionne, Georges 3 Ewert, Ralf 3 Fornari, Fabio 3 Gatfaoui, Hayette 3 Grundke, Peter 3 Imerman, Michael B. 3 Nadal-De Simone, Francisco 3 Pliszka, Kamil 3 Porath, Daniel 3 Rohde, Johannes 3 Sibbertsen, Philipp 3 So, Leh-chyan 3 Szczesny, Andrea 3 Tasca, Paolo 3 Thoma, Grid 3 Tuchscherer, Michael 3 Abinzano, Isabel 2 Aktug, Rahmi Erdem 2 Altman, Edward I. 2 Ampountolas, Apostolos 2 Barangă, laurențiu Paul 2
more ... less ...
Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 7 Deutsche Bundesbank 4 Central Bank of Luxembourg 3 Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia 3 EconWPA 3 Nationalekonomiska Institutionen, Ekonomihögskolan 3 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 3 C.E.P.R. Discussion Papers 2 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 2 Department of Economics, International Business School, Brandeis University 2 Facultat d'Economia i Empresa, Universitat de Barcelona 2 Institut ekonomických studií, Univerzita Karlova v Praze 2 London School of Economics (LSE) 2 Banca d'Italia 1 Bank of Japan 1 Center for Financial Studies 1 Centro de Estudios Monetarios y Financieros (CEMFI) 1 Collegio Carlo Alberto, Università degli Studi di Torino 1 Cologne Graduate School in Management, Economics and Social Sciences, Wirtschafts- und Sozialwissenschaftliche Fakultät 1 DIW Berlin (Deutsches Institut für Wirtschaftsforschung) 1 Department of Management, Technology and Economics (D-MTEC), Eidgenössische Technische Hochschule Zürich (ETHZ) 1 Econometric Society 1 Economics and Econometrics Research Institute (EERI) 1 European Central Bank 1 Facoltà di Economia, Università degli Studi dell'Insubria 1 Fakultät Wirtschaftswissenschaften, Technische Universität Dresden 1 Finance Discipline Group, Business School 1 Frankfurt School of Finance and Management 1 Henley Business School, University of Reading 1 Instituto de Economía, Facultad de Ciencia Económicas y Administrativas 1 International Institute of Social and Economic Sciences 1 International Monetary Fund (IMF) 1 Laboratory of Economics and Management (LEM), Scuola Superiore Sant'Anna 1 National Centre for Econometric Research (NCER) 1 Vytautas Magnus University 1 Wirtschaftswissenschaftliche Fakultät, Leibniz Universität Hannover 1
more ... less ...
Published in...
All
MPRA Paper 7 Asia-Pacific Financial Markets 5 International review of financial analysis 5 Journal of Risk and Financial Management 5 Journal of banking & finance 5 Journal of financial stability 5 Emerging Markets Finance and Trade 4 Journal of risk and financial management : JRFM 4 BCL working papers 3 Discussion Paper Series 2 3 Discussion Paper Series 2: Banking and Financial Studies 3 ECB Working Paper 3 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 3 Journal of Banking & Finance 3 Journal of Financial Transformation 3 Journal of economic dynamics & control 3 Review of quantitative finance and accounting 3 SFB 649 Discussion Papers 3 The journal of credit risk : published quarterly by Incisive Media 3 Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan 3 Applied economics 2 Applied economics letters 2 CEPR Discussion Papers 2 Cahiers d'etudes / Banque Centrale du Luxembourg 2 Cahiers de recherche 2 Dresden Discussion Paper Series in Economics 2 EERI Research Paper Series 2 Econometrics 2 Economic modelling 2 Expert journal of finance 2 Finance 2 Frankfurt School - Working Paper Series 2 German Risk and Insurance Review (GRIR) 2 IES Working Paper 2 IES working paper 2 Insurance / Mathematics & economics 2 International Journal of Financial Markets and Derivatives 2 Journal of Financial Regulation and Compliance 2 Journal of Financial Services Research 2 LSE Research Online Documents on Economics 2
more ... less ...
Source
All
ECONIS (ZBW) 127 RePEc 105 EconStor 37 Other ZBW resources 4 BASE 3
Showing 91 - 100 of 276
Cover Image
Diversification and financial stability
Tasca, Paolo; Battiston, Stefano - London School of Economics (LSE) - 2014
interlocked balance sheets, with interbank claims marked-to-market according to the individual default probability of the obligor …
Persistent link: https://www.econbiz.de/10011163503
Saved in:
Cover Image
Is Barrier version of Merton model more realistic? Evidence from Europe
Andrlikova, Petra - Institut ekonomických studií, Univerzita Karlova v Praze - 2014
A company can go bankrupt if the value of its assets drops below the debt level. This event can happen at any point in time. This is however not taken into account in the plain vanilla option framework of the Merton model. Theoretically, the barrier version of the Merton model shall therefore be...
Persistent link: https://www.econbiz.de/10011078524
Saved in:
Cover Image
Bayesian default probability models
Andrlikova, Petra - Institut ekonomických studií, Univerzita Karlova v Praze - 2014
This paper proposes a methodology for default probability estimation for low default portfolios, where the statistical …
Persistent link: https://www.econbiz.de/10011078533
Saved in:
Cover Image
A Simple and Precise Method for Pricing Convertible Bond with Credit Risk
Xiao, Tim - Volkswirtschaftliche Fakultät, … - 2014
This paper presents a new framework for valuing hybrid defaultable financial instruments, for example, convertible bonds. In contrast to previous studies, the model relies on the probability distribution of a default jump rather than the default jump itself, as the default jump is usually...
Persistent link: https://www.econbiz.de/10011113932
Saved in:
Cover Image
Is Barrier version of Merton model more realistic? Evidence from Europe
Andrlikova, Petra - International Institute of Social and Economic Sciences - 2014
A company can go bankrupt if the value of its assets drops below the debt level. This event can happen at any point in time. This is however not taken into account in the plain vanilla option framework of the Merton model. Theoretically, the barrier version of the Merton model shall therefore be...
Persistent link: https://www.econbiz.de/10011210314
Saved in:
Cover Image
A Ponzi scheme exposed to volatile markets
Parodi, Bernhard R. - Volkswirtschaftliche Fakultät, … - 2014
($\sigma = 0$). Allowing also for negative capital values the system's default probability can be calculated at any time by …
Persistent link: https://www.econbiz.de/10011234833
Saved in:
Cover Image
Credit Risk Modeling under Conditional Volatility
Rohde, Johannes; Sibbertsen, Philipp - Wirtschaftswissenschaftliche Fakultät, Leibniz … - 2014
) lays the groundwork for the assessment of a firm's credit risk by its default probability. Doubtlessly, the volatility of … the firm's equity represents the most sensitive parameter influencing the default probability. By combining the Merton … on the default probability by the type of conditional distribution is pointed out. …
Persistent link: https://www.econbiz.de/10010765421
Saved in:
Cover Image
A Duration Dependent Rating Migration Model: Real Data Application and Cost of Capital Estimation
Giuseppe, Biase di; D'Amico, Guglielmo; Janssen, Jacques; … - In: Czech Journal of Economics and Finance (Finance a uver) 64 (2014) 3, pp. 233-245
This paper presents a duration dependent model for analyzing the evolution of credit ratings. It considers the backward recurrence process to tackle the time of permanence problem in the rating classes. In this way it is possible to manage the duration effects, which represent one of the most...
Persistent link: https://www.econbiz.de/10011075597
Saved in:
Cover Image
Validation of the Merton distance to the default model under ambiguity
Chen, Wei-ling; So, Leh-chyan - In: Journal of Risk and Financial Management 7 (2014) 1, pp. 13-27
retains the functional form of the Merton DD model and computes the default probability in a naive way, with our new model … significance of Bharath and Shumway's naive default probability is retained in the credit default swap (CDS) spread regressions …
Persistent link: https://www.econbiz.de/10011843241
Saved in:
Cover Image
Validation of the Merton Distance to the Default Model under Ambiguity
Chen, Wei-ling; So, Leh-chyan - In: Journal of Risk and Financial Management 7 (2014) 1, pp. 13-27
retains the functional form of the Merton DD model and computes the default probability in a naive way, with our new model … significance of Bharath and Shumway’s naive default probability is retained in the credit default swap (CDS) spread regressions …
Persistent link: https://www.econbiz.de/10010754542
Saved in:
  • First
  • Prev
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...