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Estimation of regulatory credit risk models
Pérez Montes, Carlos - 2013
Incluye bibliografía ; This article estimates a general credit risk model with both macroeconomic and latent credit factors for Spanish banks during the period 2004-2010. The proposed framework allows to estimate with bank level data both the standard credit risk model of Basel II and...
Persistent link: https://www.econbiz.de/10012530413
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Bootstrap and Empirical Likelihood-based Semi-parametric Inference for the Difference between Two Partial AUCs
Huang, Xin - 2008
distribution is shown to be a scaled chi-quare distribution. Bootstrap and empirical likelihood based inferential methods for the …
Persistent link: https://www.econbiz.de/10009463363
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Empirical Likelihood-Based NonParametric Inference for the Difference Between Two Partial AUCS
Yuan, Yan - 2007
under two ROC curves (AUCs) in the interested specificity interval. In this thesis, we have proposed bootstrap and empirical … simulation studies to compare four proposed EL and bootstrap based intervals. …
Persistent link: https://www.econbiz.de/10009463422