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From fault tree to credit risk assessment : a case study

Gatfaoui, Hayette - 2004 - This draft: September 2004

Reliability has been largely applied to industrial systems in order to study the various possibilities of systems … minimal paths leading to any system’s fault allows for a better control of systems’ safety. To this end, reliability is … reliability, which matches default risk analysis in a simple framework. Our extension includes other distributions of probability …

Persistent link: https://www.econbiz.de/10011513074

Dynamic Stress Test Diffusion Model Considering the Credit Score Performance

Fares, Ziad - 2015

After the crisis of 2008, and the important losses and shortfall in capital that it revealed, regulators conducted massive stress testing exercises in order to test the resilience of financial institutions in times of stress conditions. In this context, and considering the impact of these...

Persistent link: https://www.econbiz.de/10013026284

The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates

Roesch, Daniel - 2013

With the New Basle Capital Accord banks' capital requirements are determined with risk weights based on internal and external ratings and probabilities of default (PD's). PD's are mostly estimated from historical default rates. In recent working papers the Basle Committee on Banking Supervision...

Persistent link: https://www.econbiz.de/10013073399

Credit Risk Factor Modeling and the Basel Ii IRB Approach

Hamerle, Alfred - 2016

Persistent link: https://www.econbiz.de/10012989345

Secured and Unsecured Credit Cycles

Giannantoni, Costanza; Patella, Valeria; Tancioni, … - 2022

Secured and unsecured credit composition differently affects the business cycle. US credit accounts are decomposed considering secured and unsecured contracts for businesses and households and their sample correlations with real activity compared to the conditional evidence from an estimated...

Persistent link: https://www.econbiz.de/10013404376

Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures

Barnard, Brian - In: Expert journal of finance 5 (2017), pp. 49-72

Persistent link: https://www.econbiz.de/10011749658

Credit ratings and credit risk : is one measure enough?

Hilscher, Jens; Wilson, Mungo - In: Management science : journal of the Institute for … 63 (2017) 10, pp. 3414-3437

Persistent link: https://www.econbiz.de/10011760509

Survey of credit risk models in relation to capital adequacy framework for financial institutions

Nacaskul, Poomjai - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 68-84

Persistent link: https://www.econbiz.de/10011673803

A machine learning approach for micro-credit scoring

Ampountolas, Apostolos; Nde, Titus Nyarko; Date, Paresh; … - In: Risks : open access journal 9 (2021) 3, pp. 1-20

In micro-lending markets, lack of recorded credit history is a significant impediment to assessing individual borrowers' creditworthiness and therefore deciding fair interest rates. This research compares various machine learning algorithms on real micro-lending data to test their efficacy at...

Persistent link: https://www.econbiz.de/10012508509

Rating migration and bond valuation : a historical interest rate and default probability term structures

Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39

Persistent link: https://www.econbiz.de/10012053529