Search Results - subject:"Probability of default"

Default analysis in mortgage risk with conventional and deep machine learning focusing on 2008-2009

Ojha, Vikram; Lee, JeongHoe - In: Digital finance : smart data analytics, investment … 3 (2021) 3/4, pp. 249-271

Persistent link: https://www.econbiz.de/10012697966

Modelin-g credit risk with a Tobit model of days past due

Brezigar-Masten, Arjana; Masten, Igor; Volk, Matjaz - In: Journal of banking & finance 122 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012659261

Systematic credit risk in securitised mortgage portfolios

Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: Journal of banking & finance 122 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10012659310

COVID-19 : stress-testing non-financial companies : a macroprudential perspective : the experience of Poland

Nehrebecka, Natalia - In: Eurasian economic review : a journal in applied … 11 (2021) 2, pp. 283-319

Persistent link: https://www.econbiz.de/10012544279

Basel regulatory capital formula revised

Yang, Yimin; Wu, Min - In: International journal of financial engineering 8 (2021) 3, pp. 1-19

Persistent link: https://www.econbiz.de/10012655060

Stress tests in Hungarian banking after 2008

Pollák, Zoltán; Popper, Dávid - In: Acta oeconomica : periodical of the Hungarian Academy … 71 (2021) 3, pp. 451-463

Persistent link: https://www.econbiz.de/10012800825

A vulnerability spillover index for the indian financial system

Manna, Indrani - In: Recent developments in Asian economics : international …, (pp. 129-141). 2021

Persistent link: https://www.econbiz.de/10012804427

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

Estimating Probability of Default on Peer to Peer Market – Survival Analysis Approach

Đurović, Andrija - In: Journal of Central Banking Theory and Practice 6 (2017) 2, pp. 149-167

Arguably a cornerstone of credit risk modelling is the probability of default. This article aims is to search for the … evidence of relationship between loan characteristics and probability of default on peer-to-peer (P2P) market. In line with … survival analysis approach within the vintage framework. Firstly, 12 months probability of default through the cycle is used to …

Persistent link: https://www.econbiz.de/10012217859

O risco visto a posteriori e o risco imputado a priori nos contratos de um banco de desenvolvimento

Ramirez, Denise Benetti; Petterini, Francis Carlo - In: Revista Brasileira de Finanças : RBFin 15 (2017) 1, pp. 135-166

Persistent link: https://www.econbiz.de/10011894116