Search Results - subject:"Probability of default"

Macroeconomic approach to point in time probability of default modeling : IFRS 9 challenges

Đurović, Andrija - In: Journal of central banking theory and practice 8 (2019) 1, pp. 209-233

This paper aims to present one possible retail estimation framework of lifetime probability of default in accordance … with IFRS 9. The framework rests on "term structure of probability of default" conditional to given forward …

Persistent link: https://www.econbiz.de/10011965251

Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default

Wosnitza, Jan Henrik - 2022

The transformation of credit scores into probabilities of default plays an important role in credit risk estimation. The linear logistic regression has developed into a standard calibration approach in the banking sector. With the advent of machine learning techniques in the discriminatory phase...

Persistent link: https://www.econbiz.de/10013041410

Calibration alternatives to logistic regression and their potential for transferring the dispersion of discriminatory power into uncertainties of probabilities of default

Wosnitza, Jan Henrik - 2022

Persistent link: https://www.econbiz.de/10012876151

Machine learning methods for short-term probability of default : a comparison of classification, regression and ranking methods

Coenen, Lize; Verbeke, Wouter; Guns, Tias - In: Journal of the Operational Research Society 73 (2022) 1, pp. 191-206

Persistent link: https://www.econbiz.de/10012872899

Costos del incumplimiento en la deuda soberana : teoría y evidencia empírica

Ramírez Daza, Ezequiel Fernando - In: revista del Instituto de Investigaciones Económicas, … 27 (2022) 1, pp. 59-92

Persistent link: https://www.econbiz.de/10014253853

Estimating actual probability of default from structural models

Zou, Lin; Li, Weiping - In: International journal of financial engineering 9 (2022) 1, pp. 1-29

Persistent link: https://www.econbiz.de/10013188686

Default dependence in the insurance and banking sectors : a copula approach

Zhang, Xuan; Kim, Minjoo; Yan, Cheng; Zhao, Yang - In: Journal of international financial markets, … 91 (2024), pp. 1-13

Persistent link: https://www.econbiz.de/10014494724

Impact of specific liquidity shocks on the bank's solvency

Dhima, Julien; Bruneau, Catherine - In: The journal of risk finance : JRF 25 (2024) 2, pp. 337-365

Persistent link: https://www.econbiz.de/10014504774

Estimating the probabilities of default under the assumption of unobserved heterogeneity

Oded, Jacob; Venezia, Itzhak - 2024

Persistent link: https://www.econbiz.de/10015050045

Merton-type default risk and financial performance : the dynamic panel moderation of firm size

Mushafiq, Muhammad; Sami, Syed Ahmad; Sohail, Muhammad … - In: Journal of economic and administrative sciences 40 (2024) 2, pp. 168-181

Persistent link: https://www.econbiz.de/10014632161