Search Results - subject:"default correlation"

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil: Automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

forecasts is investigated. Coefficients of the ordinary (Pearson) and the default correlation are calculated for moving time … windows. Since the calculated default correlation depends on the VaR forecasts, analyses are performed for different quantiles …

Persistent link: https://www.econbiz.de/10014322586

The choice of GARCH models to forecast value-at-risk for currencies (euro exchange rates), crypto assets (Bitcoin and Ethereum), gold, silver and crude oil : automated processes, statistical distribution models and the specification of the mean equation

Gohs, Andreas Marcus - 2022

Persistent link: https://www.econbiz.de/10013474092

Multi-factor default correlation model estimation : enhancement with bootstrapping

Yang, Zhihui; Ray Majumder, Saikat; Shen, Weiwei; Karm, … - In: Journal of risk : JOR 26 (2024) 3, pp. 33-48

Persistent link: https://www.econbiz.de/10014487316

A generalised latent Poisson factor modelling approach for default correlations in credit portfolios

Saidane, Mohamed - In: Journal of risk management in financial institutions 17 (2023) 1, pp. 89-105

Persistent link: https://www.econbiz.de/10014489156

An analytic approach To network-based modelling for contagious defaults

Jun Park, Jong; Jang, Hyun Jin - In: Finance research letters 44 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10014494696

Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities

Jakob, Kevin - In: The journal of credit risk : published quarterly by … 18 (2022) 4, pp. 29-63

Persistent link: https://www.econbiz.de/10014247865

Mortgages : estimating default correlation and forecasting default risk

Neumann, Tobias - 2018

Persistent link: https://www.econbiz.de/10011914364

Industry specific defaults

Kwon, Tae Yeon; Lee, Yoonjung - In: Journal of empirical finance 45 (2018), pp. 45-58

Persistent link: https://www.econbiz.de/10012102441

Stress-testing and credit risk revisited : a shipping sector application

Merika, Anna; Negkakis, Ioannis; Penikas, Henry - In: International journal of banking, accounting and … 12 (2021) 4, pp. 347-367

Persistent link: https://www.econbiz.de/10012694425

IRB PD model accuracy validation in the presence of default correlation : a twin confidence interval approach

Borzykh, Dmitriy; Penikas, Henry - In: Risk management : an international journal 23 (2021) 4, pp. 282-300

Persistent link: https://www.econbiz.de/10012792821

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