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An empirical model of household arrears
Whitley, John; Windram, Richard; Cox, Prudence - 2004
Persistent link: https://www.econbiz.de/10002021149
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Estimating deliquency migration and the probability of default from aggregate data
Stokes, Jeffrey R.; Gloy, Brent A. - In: Agricultural finance review 67 (2007) 1, pp. 75-85
Persistent link: https://www.econbiz.de/10003495735
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Application of penalized splines method in the credit market
2008
Persistent link: https://www.econbiz.de/10003738379
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Comparing the accuracy of default predictions in the rating industry : The case of Moody's vs. S&P
Krämer, Walter; Güttler, André - 2003
their subsequent default history up to the end of 2002. Viewing bond ratings as predicted probabilities of default, we show …
Persistent link: https://www.econbiz.de/10010509832
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A conditionally beta distributed time-series model with application to monthly US corporate default rates
Pajhede, Thor - 2017
Persistent link: https://www.econbiz.de/10011587865
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Correlated defaults, temporal correlation, expert information and predictability of default rates
Kiefer, Nicholas M. - In: Econometric reviews 36 (2017) 6/9, pp. 699-712
Persistent link: https://www.econbiz.de/10011795379
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Testing for uncorrelated residuals in dynamic count models with an application to corporate bankruptcy
Sant'Anna, Pedro H. C. - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 3, pp. 349-358
Persistent link: https://www.econbiz.de/10011705946
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Wavelets analysis on structural model for default prediction
Han, Lu; Ge, Ruihuan - In: Computational economics 50 (2017) 1, pp. 111-140
Persistent link: https://www.econbiz.de/10011762221
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Mathematical Modelling of Expected Default Frequency
Krishnamurthy, Prabhakar - 2013
lessor companies is to identify lessees such that there arises no events of default. The insight to view the equity of a … volatility and obtaining a cardinal value for the default probability. The extension of the preliminary structural models based … efficiency was achieved by the Moody's Corporation through a model named KMV model through the computation of Expected Default …
Persistent link: https://www.econbiz.de/10013092339
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Dynamic modeling of credit portfolio risk with time-discrete Hzard rates
Hamerle, Alfred - 2002
Persistent link: https://www.econbiz.de/10013408266