Similar Search Results

Les réseaux de neurones en finance : principes et revue de la littérature

De Bodt, Eric - In: Finance : revue de l'Association Française de Finance 16 (1995) 1, pp. 25-91

Persistent link: https://www.econbiz.de/10001196909

Empirically Effective Government and Corporate Bond Pricing Models : Yield Curves and Default Curves

Kariya, Takeaki; Yamamura, Yoshiro - 2025

An Overview over the Content of This Book -- GB Models and Yield Curves in Traditional Finance, Mathematical Finance and K System -- Pricing Government Bonds and Yield Curves via K Models -- Empirical Effectiveness of the KGB Model as JGB and USGB Pricing Models -- Empirical Effectiveness of...

Persistent link: https://www.econbiz.de/10015408965

Relationsship lending, default rate and loan portfolio quality

Cotugno, Matteo; Stefanelli, Valeria; Torluccio, Giuseppe - In: Applied financial economics 23 (2013) 7/9, pp. 573-587

Persistent link: https://www.econbiz.de/10009750704

Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures

Barnard, Brian - In: Expert journal of finance 5 (2017), pp. 49-72

Persistent link: https://www.econbiz.de/10011749658

The portfolio heuristic optimisation system (PHOS)

Loukeris, N.; Eleftheriadis, I.; Livanis, E. - In: Computational economics 48 (2016) 4, pp. 627-648

Persistent link: https://www.econbiz.de/10011713087

Nonlinear relationships in a logistic model of default for a high-default installment portfolio

Lohmann, Christian; Ohliger, Thorsten - In: The journal of credit risk : published quarterly by … 14 (2018) 1, pp. 45-68

Persistent link: https://www.econbiz.de/10011885465

Concentration risk indicator

Hadzisalihovic, Anis; Pruckner, Johann; Kern, Andreas - In: Inventi impact: emerging economies (2019) 4, pp. 250-263

Persistent link: https://www.econbiz.de/10012642470

The systemic risk implications of using credit ratings versus quantitative measures to limit bond portfolio risk

Löffler, Gunter - In: Journal of financial services research 58 (2020) 1, pp. 39-57

Persistent link: https://www.econbiz.de/10012298960

Rating migration and bond valuation : a historical interest rate and default probability term structures

Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39

Persistent link: https://www.econbiz.de/10012053529

Bond Valuation : Modelling Downgrade Risk and Default Risk Based on Rating Migration Variation As Uncertainty Over the Investment Horizon Through Optimization

Barnard, Brian - 2019

Rating migration variation or volatility, as rating migration uncertainty, is a real-life phenomenon, that can be measured empirically. The study extends reduced form bond valuation models based on rating migration (matrices), by allowing variation in the rating migration matrix, as opposed to...

Persistent link: https://www.econbiz.de/10012861872