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Prototype risk rating system

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Author Info
Crouhy, Michel
Galai, Dan
Mark, Robert
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File URL: http://www.sciencedirect.com/science/article/B6VCY-41XMBS8-7/2/11d1c368fc4257d4915e81da5cbb356b
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Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 25 (2001)
Issue (Month): 1 (January)
Pages: 47-95
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Handle: RePEc:eee:jbfina:v:25:y:2001:i:1:p:47-95

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  1. Aaro Hazak & Kadri Männasoo, 2007. "Indicators of corporate default : an EU based empirical study," Bank of Estonia Working Papers 2007-10, Bank of Estonia, revised 04 Sep 2007. [Downloadable!]
  2. Pilar Abad-Romero & M. Robles-Fernández, 2007. "Bond rating changes and stock returns: evidence from the Spanish stock market," Spanish Economic Review, Springer, vol. 9(2), pages 79-103, June. [Downloadable!] (restricted)
  3. Gunter Löffler, 2002. "Avoiding the rating bounce: Why rating agencies are slow to react to new information," Working Paper Series: Finance and Accounting 97, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  4. Grunert, Jens & Norden, Lars & Weber, Martin, 2002. "The Role of Non-financial Factors in Internal Credit Ratings," CEPR Discussion Papers 3415, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  5. Guido Fioretti, 2005. "Credit Rationing and Internal Ratings in the face of Innovation and Uncertainty," Finance 0504021, EconWPA. [Downloadable!]
  6. Hamerle, Alfred & Liebig, Thilo & Rösch, Daniel, 2003. "Credit Risk Factor Modeling and the Basel II IRB Approach," Discussion Paper Series 2: Banking and Financial Studies 2003,02, Deutsche Bundesbank, Research Centre. [Downloadable!]
  7. Giulio Bottazzi & Marco Grazzi & Angelo Secchi & Federico Tamagni, 2009. "Financial and Economic Determinants of Firm Default," LEM Papers Series 2009/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy. [Downloadable!]
  8. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics. [Downloadable!]
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  9. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October. [Downloadable!] (restricted)
  10. Carling , Kenneth & Lundberg, Sofia, 2002. "Bank Lending, Geographical Distance, and Credit risk: An Empirical Assessment of the Church Tower Principle," Working Paper Series 144, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  11. João Fernandes, 2005. "Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation," Finance 0505013, EconWPA. [Downloadable!]
  12. Christophe Godlewski, 2004. "Are Bank Ratings Coherent with Bank Default Probabilities in Emerging Market Economies ?," Finance 0409023, EconWPA. [Downloadable!]
  13. Hongming Huang & Yildiray Yildirim, 2008. "Leverage, options liabilities, and corporate bond pricing," Review of Derivatives Research, Springer, vol. 11(3), pages 245-276, October. [Downloadable!] (restricted)
  14. Barnhill, Theodore M. & Souto, Marcos Rietti, 2008. "Systemic bank risk in Brazil: an assessment of correlated market, credit, sovereign and inter-bank risk in an environment with stochastic volatilities and correlations," Discussion Paper Series 2: Banking and Financial Studies 2008,13, Deutsche Bundesbank, Research Centre. [Downloadable!]
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