Search Results - subject:"through-the-cycle"

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Through-the-cycle to point-in-time probabilities of default conversion : inconsistencies in the Vasicek approach

Basson, L. J.; Van Vuuren, Gary - In: International journal of economics and financial issues … 13 (2023) 6, pp. 42-52

Persistent link: https://www.econbiz.de/10014431298

Credit rating agencies during credit crunch

Nejad, Ali Ebrahim; Hoseinzade, Saeid; Niazi, Ali - In: Review of financial economics : RFE 42 (2024) 2, pp. 124-147

Persistent link: https://www.econbiz.de/10014535091

Validation of corporate probability of default models considering alternative use cases

Jacobs, Michael - In: International Journal of Financial Studies 9 (2021) 4, pp. 1-22

In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting …

Persistent link: https://www.econbiz.de/10013200388

Validation of corporate probability of default models considering alternative use cases

Jacobs, Michael <Jr.> - In: International Journal of Financial Studies : open … 9 (2021) 4, pp. 1-22

In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting …

Persistent link: https://www.econbiz.de/10012698321

Disentangling the sources of sovereign rating adjustments : an examination of changes in rating policies following the GFC

Cuadros-Solas, Pedro J.; Salvador, Carlos - In: Research in international business and finance 59 (2022), pp. 1-27

Persistent link: https://www.econbiz.de/10013402110

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

On probability of default and its relation to observed default frequency and a common factor

Oeyen, Brent; Celis, Oliver Salazar - In: The journal of credit risk : published quarterly by … 15 (2019) 3, pp. 41-66

Persistent link: https://www.econbiz.de/10012121563

Modeling Systematic Risk and Point-in-Time Probability of Default under the Vasicek Asymptotic Single Risk Factor Model Framework

Yang, Bill Huajian - Volkswirtschaftliche Fakultät, … - 2014

PDs for scenario tests and through-the-cycle entity PD all have analytical solutions. For validation, we model the point …

Persistent link: https://www.econbiz.de/10011107570

Statistical properties and stability of ratings in a subset of US firms

Matthies, Alexander B. - 2013

-established macroeconomic effects of credit ratings found by Blume et al. (1998) and highlights the influence of the rating agencies' through-the-cycle …

Persistent link: https://www.econbiz.de/10010318733

Empirical research on corporate credit-ratings: A literature review

Matthies, Alexander B. - 2013

We report on the current state and important older findings of empirical studies on corporate credit ratings and their relationship to ratings of other entities. Specifically, we consider the results of three lines of research: The correlation of credit ratings and corporate default, the...

Persistent link: https://www.econbiz.de/10010318748

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