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Lead-lag relationships and rating convergence among credit rating agencies
Güttler, André - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 95-119
Persistent link: https://www.econbiz.de/10009010624
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A multiname first-passage model for credit risk
McLeish, Don L.; Metzler, Adam - In: The journal of credit risk : published quarterly by … 7 (2011/12) 1, pp. 35-64
Persistent link: https://www.econbiz.de/10009010630
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CDO rating methodology : some thoughts on model risk and its implications
Fender, Ingo; Kiff, John - In: The journal of credit risk : published quarterly by … 1 (2005) 3, pp. 37-58
Persistent link: https://www.econbiz.de/10003198815
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Pricing of contingent convertibles under smile conform models
Corcuera, José Manuel; De Spiegeleer, Jan; … - In: The journal of credit risk : published quarterly by … 9 (2013) 3, pp. 121-140
Persistent link: https://www.econbiz.de/10010239242
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Pricing corporate loans under the risk-neutral measure
Benzschawel, Terry; DaGraca, Julio; Lee, Cheng-yen - In: The journal of credit risk : published quarterly by … 8 (2012) 1, pp. 29-62
Persistent link: https://www.econbiz.de/10009539245
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An effective credit rating method for corporate entities using machine learning
Sun, Hansheng; Kwon, Roy; Dai, Binbin; Premawardena, Pubudu - In: The journal of credit risk : published quarterly by … 18 (2022) 3, pp. 1-27
Persistent link: https://www.econbiz.de/10013549661
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Stressed distance to default and default risk
Guo, Nan; Li, Lingfei - In: The journal of credit risk : published quarterly by … 18 (2022) 3, pp. 29-48
Persistent link: https://www.econbiz.de/10013549662
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Stressing of migration matrixes for International Financial Reporting Standard 9 and Internal Capital Adequacy Assessment Process Calculations
Witzany, Jiří - In: The journal of credit risk : published quarterly by … 18 (2022) 3, pp. 49-76
Persistent link: https://www.econbiz.de/10013549663
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Generalized additive modeling of the credit risk of Korean personal bank loans
Kim, Young Ah; Moffatt, Peter G.; Peters, Simon A. - In: The journal of credit risk : published quarterly by … 18 (2022) 3, pp. 77-103
Persistent link: https://www.econbiz.de/10013549664
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Pricing kth-to-default swaps in a Lévy-time framework
Mai, Jan-Frederik; Scherer, Matthias - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 55-70
Persistent link: https://www.econbiz.de/10003903240