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Citations for "A comparative anatomy of credit risk models"

by Gordy, Michael B.

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Cited by (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.):
  1. Jacobson, Tor & Kindell, Rikard & Lindé, Jesper & Roszbach, Kasper F., 2008. "Firm Default and Aggregate Fluctuations," CEPR Discussion Papers 7083, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  2. Pamela Nickell & William Perraudin & Simone Varotto, . "Ratings versus equity-based credit risk modelling: an empirical analysis," Bank of England working papers 132, Bank of England. [Downloadable!]
  3. Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P Tsomocos, . "Procyclicality and the new Basel Accord - banks' choice of loan rating system," Bank of England working papers 181, Bank of England. [Downloadable!]
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  4. G. Baourakis & M. Conisescu & G. Dijk & P. Pardalos & C. Zopounidis, 2009. "A multicriteria approach for rating the credit risk of financial institutions," Computational Management Science, Springer, vol. 6(3), pages 347-356, August. [Downloadable!] (restricted)
  5. Shi, Wei & Irwin, Scott H., 2006. "What Happens when Peter can't Pay Paul: Risk Management at Futures Exchange Clearinghouses," 2006 Annual meeting, July 23-26, Long Beach, CA 21087, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  6. Mark Carey, 2000. "Dimensions of Credit Risk and Their Relationship to Economic Capital Requirements," NBER Working Papers 7629, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  7. Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Cahiers de recherche 0613, CIRPEE. [Downloadable!]
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  8. Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2005. "Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Journal of Financial Services Research, Springer, vol. 28(1), pages 43-75, October. [Downloadable!] (restricted)
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  9. Javier Márquez Diez-Canedo, 2005. "A simplified credit risk model for supervisory purposes in emerging markets," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 328-60 Bank for International Settlements. [Downloadable!]
  10. Georges Dionne, 2003. "The Foundationsof Banks' Risk Regulation: A Review of Literature," THEMA Working Papers 2003-46, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise. [Downloadable!]
  11. 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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  12. Maldonado, Diego & Pazmiño , Mariela, 2008. "Nuevas Herramientas para la Administración del Riesgo Crediticio: El caso de una Cartera Crediticia Ecuatoriana
    [New Management Tool for Credit Risk analysis: An aplication for Financial Instituti    ," MPRA Paper 17163, University Library of Munich, Germany, revised 30 Dec 2008. [Downloadable!]
  13. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2008. "Forecasting Cross-Sections of Frailty-Correlated Default," Tinbergen Institute Discussion Papers 08-029/4, Tinbergen Institute. [Downloadable!]
  14. Mathias Schmit, 2003. "Is Automotive Leasing a Risky Business?," Working Papers CEB 03-009.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  15. Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  16. Piergiorgio Alessandri & Mathias Drehmann, 2009. "An economic capital model integrating credit and interest rate risk in the banking book," Working Paper Series 1041, European Central Bank. [Downloadable!]
  17. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler & Scott M. Weiner & April, . "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Center for Financial Institutions Working Papers 03-13, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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  18. M. Hashem Pesaran & Til Schuermann & Björn-Jakob Treutler, 2005. "Global Business Cycles and Credit Risk," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  19. Gutierrez Girault, Matias Alfredo, 2007. "Modelos de credit scoring: qué, cómo, cuándo y para qué
    [Credit scoring models: what, how, when and for what purposes]    ," MPRA Paper 16377, University Library of Munich, Germany. [Downloadable!]
  20. Til Schuermann & Yusuf Jafry, 2003. "Measurement and Estimation of Credit Migration Matrices," Center for Financial Institutions Working Papers 03-08, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
  21. Pesaran, M.H. & Weiner, S.M., 2001. "Modelling Regional Interdependencies Using a Global Error-Correcting Macroeconometric Model," Cambridge Working Papers in Economics 0119, Faculty of Economics, University of Cambridge. [Downloadable!]
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  22. Schmidt, Rafael & Schmieder, Christian, 2007. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Discussion Paper Series 2: Banking and Financial Studies 2007,07, Deutsche Bundesbank, Research Centre. [Downloadable!]
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  23. Jose A. Lopez, 2002. "The empirical relationship between average asset correlation, firm probability of default and asset size," Working Papers in Applied Economic Theory 2002-05, Federal Reserve Bank of San Francisco. [Downloadable!]
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  24. Bradford Case, 2003. "Loss characteristics of commercial real estate loan portfolios," Basel II White Paper 1, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  25. Klaus Rheinberger & Martin Summer, 2008. "Credit portfolio risk and asset price cycles," Computational Management Science, Springer, vol. 5(4), pages 337-354, October. [Downloadable!] (restricted)
  26. Andrew Kuritzkes & Til Schuermann & Scott Weiner, 2005. "Deposit Insurance and Risk Management of the U.S. Banking System: What is the Loss Distribution Faced by the FDIC?," Journal of Financial Services Research, Springer, vol. 27(3), pages 217-242, September. [Downloadable!] (restricted)
  27. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005. "Default Risk in Corporate Yield Spreads," Cahiers de recherche 0532, CIRPEE. [Downloadable!]
  28. Hamerle, Alfred & Knapp, Michael & Wildenauer, Nicole, 2005. "Auswirkungen unterschiedlicher Assetkorrelationen in Mehr-Sektoren-Kreditportfoliomodellen," Regensburger Diskussionsbeiträge zur Wirtschaftswissenschaft 409, University of Regensburg, Department of Economics. [Downloadable!]
  29. J. ANNAERT & Crispiniano Garcia Joao Batista & J. LAMOOT & G. LANINE, 2006. "Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 06/367, Ghent University, Faculty of Economics and Business Administration. [Downloadable!]
  30. Patricia Jackson & William Perraudin & Victoria Saporta, . "Regulatory and 'economic' solvency standards for internationally active banks," Bank of England working papers 161, Bank of England. [Downloadable!]
  31. Jose A. Lopez, 2005. "Empirical analysis of the average asset correlation for real estate investment trusts," Working Paper Series 2005-22, Federal Reserve Bank of San Francisco. [Downloadable!]
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  32. Martin Cihak, 2004. "Stress Testing: A Review of key Concepts," Research and Policy Notes 2004/02, Czech National Bank, Research Department. [Downloadable!]
  33. Stéphanie Duchemin & Marie-Paule Laurent & Mathias Schmit, 2003. "Asset return correlation: The case of automotive lease portfolios," Working Papers CEB 03-007.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  34. Mark Carey, 2000. "Dimensions of credit risk and their relationship to economic capital requirements," Finance and Economics Discussion Series 2000-18, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  35. Mark Carey & Mark Hrycay, 2000. "Parameterizing credit risk models with rating data," Finance and Economics Discussion Series 2000-47, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  36. Powell, Andrew, 2002. "A capital accord for emerging economies?," Policy Research Working Paper Series 2808, The World Bank. [Downloadable!]
  37. Man Cho, 2007. "180 Years’ Evolution of the US Mortgage Banking System: Lessons for Emerging Mortgage Markets," International Real Estate Review, Asian Real Estate Society, vol. 10(1), pages 171-212. [Downloadable!]
  38. Masschelein, Nancy & Düllmann, Klaus, 2006. "Sector concentration in loan portfolios and economic capital," Discussion Paper Series 2: Banking and Financial Studies 2006,09, Deutsche Bundesbank, Research Centre. [Downloadable!]
  39. Düllmann, Klaus & Kunisch, Michael & Küll, Jonathan, 2008. "Estimating asset correlations from stock prices or default rates: which method is superior?," Discussion Paper Series 2: Banking and Financial Studies 2008,04, Deutsche Bundesbank, Research Centre. [Downloadable!]
  40. Daniel Rosch & Harald Scheule, 2008. "Credit Losses in Economic Downturns - Empirical Evidence for Hong Kong Mortgage Loans," Working Papers 152008, Hong Kong Institute for Monetary Research. [Downloadable!]
  41. Klaus Düllmann & Nancy Masschelein, 2006. "Sector Concentration in Loan Portfolios and Economic Capital," Research series 200611-17, National Bank of Belgium. [Downloadable!]
  42. Paul S. Calem & Michael LaCour-Little, 2001. "Risk-based capital requirements for mortgage loans," Finance and Economics Discussion Series 2001-60, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  43. Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden). [Downloadable!]
  44. Ivan Alves, 2005. "Sectoral fragility: factors and dynamics," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 450-80 Bank for International Settlements. [Downloadable!]
  45. Mark Carey, 2002. "A guide to choosing absolute bank capital requirements," International Finance Discussion Papers 726, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
  46. Samuel Hanson & M. Hashem Pesaran & Til Schuermann, 2005. "Firm Heterogeneity and Credit Risk Diversification," CESifo Working Paper Series CESifo Working Paper No. , CESifo Group Munich. [Downloadable!]
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  47. Verónica Balzarotti & Christian Castro & Andrew Powell, 2004. "Reforming Capital Requirements in Emerging Countries: Calibrating Basel II using Historical Argentine Credit Bureau Data and CreditRisk+," Business School Working Papers capitalreqemerging, Universidad Torcuato Di Tella. [Downloadable!]
  48. Marie-Paule Laurent, 2004. "Asset Return Correlation in Basel II: Implications for Credit Risk Management," Working Papers CEB 04-017.RS, Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB). [Downloadable!]
  49. Ricardo Schechtman & Valéria Salomão Garcia & Sergio Mikio Koyama & Guilherme Cronemberger Parente, 2004. "Credit Risk Measurement and the Regulation of Bank Capital and Provision Requirements in Brazil - A Corporate Analysis," Working Papers Series 91, Central Bank of Brazil, Research Department. [Downloadable!]
  50. André Lucas & Pieter Klaassen & Peter Spreij & Stefan Straetmans, 2001. "Tail Behavior of Credit Loss Distributions for General Latent Factor Models," Tinbergen Institute Discussion Papers 01-023/2, Tinbergen Institute. [Downloadable!]
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  51. Anil Bangia & Francis X. Diebold & Til Schuermann, 2000. "Ratings Migration and the Business Cycle, With Application to Credit Portfolio Stress Testing," Center for Financial Institutions Working Papers 00-26, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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  52. Olli Castrén & Trevor Fitzpatrick & Matthias Sydow, 2009. "Assessing portfolio credit risk changes in a sample of EU large and complex banking groups in reaction to macroeconomic shocks," Working Paper Series 1002, European Central Bank. [Downloadable!]
  53. Lutz Hahnenstein, 2004. "Calibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany," Financial Markets and Portfolio Management, Springer, vol. 18(4), pages 358-381, December. [Downloadable!] (restricted)
  54. Hergen Frerichs & Gunter Löffler, 2001. "Evaluating credit risk models: A critique and a proposal," Working Paper Series: Finance and Accounting 84, Department of Finance, Goethe University Frankfurt am Main. [Downloadable!]
  55. 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!]
  56. Nikola Tarashev & Haibin Zhu, 2008. "Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model," International Journal of Central Banking, International Journal of Central Banking, vol. 4(2), pages 129-173, June. [Downloadable!]
  57. Miguel Angel Segoviano & Philip Lowe, 2002. "Internal ratings, the business cycle, and capital requirements: some evidence from an emerging market economy," Conference Series ; [Proceedings], Federal Reserve Bank of Boston. [Downloadable!]
  58. Mejra Festić, 2006. "Procyclicality Of Financial And Real Sector In Transition Economies," Prague Economic Papers, University of Economics, Prague, vol. 2006(4), pages 315-349. [Downloadable!] (restricted)
  59. Chakraborty, Suparna & Allen, Linda, 2007. "Revisiting the Level Playing Field: International Lending Responses to Divergences in Japanese Bank Capital Regulations from the Basel Accord," MPRA Paper 1805, University Library of Munich, Germany. [Downloadable!]
  60. Stijn Claessens & Jan Krahnen & William Lang, 2005. "The Basel II Reform and Retail Credit Markets," Journal of Financial Services Research, Springer, vol. 28(1), pages 5-13, October. [Downloadable!] (restricted)
  61. Beverly J. Hirtle & Mark Levonian & Marc Saidenberg & Stefan Walter & David Wright, 2001. "Using credit risk models for regulatory capital: issues and options," Economic Policy Review, Federal Reserve Bank of New York, issue Mar, pages 19-36. [Downloadable!]
  62. Kim, Joocheol & Kim, KiHyung, 2006. "Loss Given Default Modelling under the Asymptotic Single Risk Factor Assumption," MPRA Paper 860, University Library of Munich, Germany. [Downloadable!]
  63. Andrew Kuritzkes & Til Schuermann & Scott Weiner, 2002. "Deposit Insurance and Risk Management of the U.S. Banking System: How Much? How Safe? Who Pays?," Center for Financial Institutions Working Papers 02-02, Wharton School Center for Financial Institutions, University of Pennsylvania. [Downloadable!]
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This page was last updated on 2010-1-7.

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