In credit risk management migration matrices are major inputs for many applications, including the determination of Value-at-Risk or derivative pricing. After reviewing distance measures for migration matrices we motivate and propose new directed difference indices to measure changes in...

R ating Based Modeling of Credit Risk Theory and Application of Migration Matrices Contents Preface xi 1 Introduction: Credit Risk Modeling, Ratings, a nd Migration Matrices ...

In this paper, we show the importance of accounting for heterogeneity among sample firms in stochastic frontier analysis. For a fairly homogenous sample of German savings and cooperative banks, we analyze how alternative theoretical assumptions regarding the nature of heterogeneity can be...

Financial contagion and systemic risk measures are commonly derived from conditional quantiles by using imposed model assumptions such as a linear parametrization. In this paper, we provide model free measures for contagion and systemic risk which are independent of the specifcation of...