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Inaccurate dependence measures in credit models for non-normal variables

Moreira, Fernando - In: Banking and finance review 3 (2011) 2, pp. 159-176

Persistent link: https://www.econbiz.de/10009729632

Checking for asymmetric default dependence in a credit card portfolio : a copula approach

Crook, Jonathan N.; Moreira, Fernando - In: Journal of empirical finance 18 (2011) 4, pp. 728-742

Persistent link: https://www.econbiz.de/10009306529

Copula-based formulas to estimate unexpected credit losses (the future of Basel accords?)

Moreira, Fernando - In: Financial markets, institutions & instruments 19 (2010) 5, pp. 381-404

Persistent link: https://www.econbiz.de/10008901698

Estimating portfolio credit losses in downturns

Moreira, Fernando - In: Financial markets, institutions & instruments 24 (2015) 5, pp. 391-414

Persistent link: https://www.econbiz.de/10011412170

The zero-inflated promotion cure rate model applied to financial data on time-to-default

Oliveira, Mauro Ribeiro de <Jr.>; Moreira, Fernando; … - In: Cogent economics & finance 5 (2017) 1, pp. 1-14

In this paper, we extend the promotion cure rate model studied in Yakovlev and Tsodikov (1996) and Chen et al. (1999) by incorporating an excess of zeros in the modeling. Despite relating covariates to the cure fraction, the current approach does not enable us to relate covariates to the...

Persistent link: https://www.econbiz.de/10011886977

Nonstationary Z-Score measures

Mare, Davide Salvatore; Moreira, Fernando; Rossi, Roberto - In: European journal of operational research : EJOR 260 (2017) 1, pp. 348-358

Persistent link: https://www.econbiz.de/10011698038

Systemic risk among European banks : a copula approach

Kleinow, Jacob; Moreira, Fernando - In: Journal of international financial markets, … 42 (2016), pp. 27-42

Persistent link: https://www.econbiz.de/10011673405

Liquidity regulation, bank capital ratio, and interbank rate

Huang, Chao; Moreira, Fernando - In: Economics letters 242 (2024), pp. 1-5

Persistent link: https://www.econbiz.de/10015079814