In this paper, we show the importance of accounting for heterogeneity among sample firms in stochastic frontier analysis. For a fairly homogenous sample of German savings and cooperative banks, we analyze how alternative theoretical assumptions regarding the nature of heterogeneity can be...

In credit risk management migration matrices are major inputs for many applications, including the determination of Value-at-Risk or derivative pricing. After reviewing distance measures for migration matrices we motivate and propose new directed difference indices to measure changes in...