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Modeling exposure at default and loss given default : empirical approaches and technical implementation
Yang, Bill Huajian; Tkachenko, Mykola - In: The journal of credit risk : published quarterly by … 8 (2012) 2, pp. 81-102
Persistent link: https://www.econbiz.de/10009673642
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Modelling systematic risk and point-in-time probability of default under the Vasicek asymptotic single-risk-factor model framework
Yang, Bill Huajian - In: The journal of risk model validation 8 (2014) 3, pp. 33-48
Persistent link: https://www.econbiz.de/10010423905
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Point-in-time probability of default term structure models for multiperiod scenario loss projection
Yang, Bill Huajian - In: The journal of risk model validation 11 (2017) 1, pp. 73-94
Persistent link: https://www.econbiz.de/10011671182
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Stress testing and modelling of rating migration under the Vasicek model framework : empirical approaches and technical implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 9 (2015) 2, pp. 33-47
Persistent link: https://www.econbiz.de/10011326309
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Forward ordinal probability models for point-in-time probability of default term structure : methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
Yang, Bill Huajian - In: The journal of risk model validation 11 (2017) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10011762989
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Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing : methodologies and implementation
Yang, Bill Huajian; Du, Zunwei - In: The journal of risk model validation 10 (2016) 3, pp. 1-19
Persistent link: https://www.econbiz.de/10011587660