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Validating Structural Credit Portfolio Models

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  • Michael Kalkbrener
  • Akwum Onwunta
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    File URL: http://comisef.eu/files/wps014.pdf
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    Bibliographic Info

    Paper provided by COMISEF in its series Working Papers with number 014.

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    Length: 17 pages
    Date of creation: 13 Oct 2009
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    Handle: RePEc:com:wpaper:014

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    Web page: http://www.comisef.eu

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    1. Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
    2. Reinaldo B. Arellano-Valle & Adelchi Azzalini, 2006. "On the Unification of Families of Skew-normal Distributions," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 33(3), pages 561-574.
    3. McNeil, Alexander J. & Wendin, Jonathan P., 2007. "Bayesian inference for generalized linear mixed models of portfolio credit risk," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 131-149, March.
    4. Rosch, Daniel, 2005. "An empirical comparison of default risk forecasts from alternative credit rating philosophies," International Journal of Forecasting, Elsevier, vol. 21(1), pages 37-51.
    5. Siem Jan Koopman & André Lucas & Robert Daniels, 2005. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Tinbergen Institute Discussion Papers 05-060/4, Tinbergen Institute.
    6. Cornaglia, Anna & Morone, Marco, 2009. "Rating philosophy and dynamic properties of internal rating systems: A general framework and an application to backtesting," MPRA Paper 14711, University Library of Munich, Germany.
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