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The stability of survival model parameter estimates for predicting the probability of default : empirical evidence over the credit crisis
Leow, Mindy; Crook, Jonathan N. - In: European journal of operational research : EJOR 249 (2016) 2, pp. 457-464
Persistent link: https://www.econbiz.de/10011436709
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A new mixture model for the estimation of credit card exposure at default
Leow, Mindy; Crook, Jonathan N. - In: European journal of operational research : EJOR 249 (2016) 2, pp. 487-497
Persistent link: https://www.econbiz.de/10011436718
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Reducing estimation risk using a Bayesian posterior distribution approach : application to stress testing mortgage loan default
Wang, Zheqi; Crook, Jonathan N.; Andreeva, Galina - In: European journal of operational research : EJOR 287 (2020) 2, pp. 725-738
Persistent link: https://www.econbiz.de/10012293945
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Downturn loss given default : mixture distribution estimation
Calabrese, Raffaella - In: European journal of operational research : EJOR 237 (2014) 1, pp. 271-277
Persistent link: https://www.econbiz.de/10010378609
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Regression model for proportions with probability masses at zero and one
Calabrese, Raffaella - 2012
Persistent link: https://www.econbiz.de/10009515736
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Estimating bank default with generalised extreme value regression models
Calabrese, Raffaella; Giudici, Paolo - In: Journal of the Operational Research Society : OR 66 (2015) 11, pp. 1783-1792
Persistent link: https://www.econbiz.de/10011418442
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A new approach to measure systemic risk : a bivariate copula model for dependent censored data
Calabrese, Raffaella; Osmetti, Silvia Angela - In: European journal of operational research : EJOR 279 (2019) 3, pp. 1053-1064
Persistent link: https://www.econbiz.de/10012102835