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Forecasting probabilities of default and loss rates given default in the presence of selection

Rösch, Daniel; Scheule, Harald - In: Journal of the Operational Research Society : OR 65 (2014) 3, pp. 393-407

Persistent link: https://www.econbiz.de/10010251696

Predicting Default Risk under Asymmetric Binary Link Functions

Dendramis, Yiannis - 2019

In this paper we propose the use of an asymmetric binary link function to extend the proportional hazard model for predicting loan default. The rationale behind this approach is that the symmetry assumption, that has been widely used in the literature, could be considered as quite restrictive,...

Persistent link: https://www.econbiz.de/10012892405

Crypto Coins and Credit Risk : Modelling and Forecasting their Probability of Death

Fantazzini, Dean - 2022

This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice, alternative forecasting...

Persistent link: https://www.econbiz.de/10013404509

Mortgages : estimating default correlation and forecasting default risk

Neumann, Tobias - 2018

Persistent link: https://www.econbiz.de/10011914364

Credit Derivatives and Corporate Default Prediction

Ye, Xiaoxia; Yu, Fan; Zhao, Ran - 2021

There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...

Persistent link: https://www.econbiz.de/10013213330

A Structural Approach for Predicting Default Correlation

Liu, Sheen - 2013

Default correlation is a critical concept in risk management for fixed income investment, bank management, and …-firm environment and predict the default correlation between two firms by directly simulating the calibrate model based on the observed … equity data (1990-2010) for various ratings. Using our empirical default correlation estimation as the benchmark, our …

Persistent link: https://www.econbiz.de/10013090295

Mortgages : Estimating Default Correlation and Forecasting Default Risk

Neumann, Tobias - 2018

Default correlation is a key driver of credit risk. In the Basel regulatory framework it is measured by the asset value … correlation parameter. Though past studies suggest that the parameter is over-calibrated for mortgages — generally the largest …

Persistent link: https://www.econbiz.de/10012925775

Kiefer, Nicholas M. - 2009

temporal correlation in default rates through autocorrelation in the systemic factor. Implications for the predictability of …. A robustness exercise, weakening the prior on the asset correlation, illustrates that the correlation indicated by the …

Persistent link: https://www.econbiz.de/10008649673

Kiefer, Nicholas M. - In: Econometric reviews 36 (2017) 6/9, pp. 699-712

Persistent link: https://www.econbiz.de/10011795379

Machine Learning for Corporate Default Risk : Multi-Period Prediction, Frailty Correlation, Loan Portfolios, and Tail Probabilities

Sigrist, Fabio Roman Albert; Leuenberger, Nicola - 2021

tails of portfolio losses compared to both a linear frailty model and machine learning methods ignoring frailty correlation …

Persistent link: https://www.econbiz.de/10013324358