An empirical comparison of default risk forecasts from alternative credit rating philosophies
Author
Abstract
Suggested Citation
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Gordy, Michael B., 2000.
"A comparative anatomy of credit risk models,"
Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 119-149, January.
- Michael B. Gordy, 1998. "A comparative anatomy of credit risk models," Finance and Economics Discussion Series 1998-47, Board of Governors of the Federal Reserve System (U.S.).
- Eva Catarineu-Rabell & Patricia Jackson & Dimitrios Tsomocos, 2005.
"Procyclicality and the new Basel Accord - banks’ choice of loan rating system,"
Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 26(3), pages 537-557, October.
- Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P. Tsomocos, 2002. "Procyclicality and the New Basel Accord: banks' choice of loan rating system," Conference Series ; [Proceedings], Federal Reserve Bank of Boston.
- Dimitrios Tsomocos & Eva Catarineu-Rabell & Patricia Jackson, 2003. "Procyclicality and the new Basel Accord–banks’ choice of loan rating system," FMG Discussion Papers dp464, Financial Markets Group.
- Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P Tsomocos, 2003. "Procyclicality and the new Basel Accord - banks' choice of loan rating system," Bank of England working papers 181, Bank of England.
- Eva Catarineu-Rabell & Patricia Jackson & Dimitrios P.Tsomocos, 2003. "Procyclicality and the new Basel Accord - Banks' choice of loan rating system," OFRC Working Papers Series 2003fe06, Oxford Financial Research Centre.
- Catarineu-Rabell, Eva & Jackson, Patricia & Tsomocos, Dimitrios P., 2003. "Procyclicality and the new Basel Accord–banks’ choice of loan rating system," LSE Research Online Documents on Economics 24863, London School of Economics and Political Science, LSE Library.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2001. "Prototype risk rating system," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 47-95, January.
- Berkowitz, Jeremy, 2001. "Testing Density Forecasts, with Applications to Risk Management," Journal of Business & Economic Statistics, American Statistical Association, vol. 19(4), pages 465-474, October.
- Gordy, Michael B., 2003.
"A risk-factor model foundation for ratings-based bank capital rules,"
Journal of Financial Intermediation, Elsevier, vol. 12(3), pages 199-232, July.
- Michael B. Gordy, 2002. "A risk-factor model foundation for ratings-based bank capital rules," Finance and Economics Discussion Series 2002-55, Board of Governors of the Federal Reserve System (U.S.).
- Carey, Mark & Hrycay, Mark, 2001. "Parameterizing credit risk models with rating data," Journal of Banking & Finance, Elsevier, vol. 25(1), pages 197-270, January.
- Treacy, William F. & Carey, Mark, 2000. "Credit risk rating systems at large US banks," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 167-201, January.
- Lando, David & Skodeberg, Torben M., 2002. "Analyzing rating transitions and rating drift with continuous observations," Journal of Banking & Finance, Elsevier, vol. 26(2-3), pages 423-444, March.
- 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.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Mizen, Paul & Tsoukas, Serafeim, 2012.
"Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model,"
International Journal of Forecasting, Elsevier, vol. 28(1), pages 273-287.
- Mizen, Paul & Tsoukas, Serafeim, 2011. "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," SIRE Discussion Papers 2011-69, Scottish Institute for Research in Economics (SIRE).
- Paul Mizen & Serafeim Tsoukas, 2011. "Forecasting US bond default ratings allowing for previous and initial state dependence in an ordered probit model," Working Papers 2011_19, Business School - Economics, University of Glasgow.
- 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.
- Van Gestel, Tony & Martens, David & Baesens, Bart & Feremans, Daniel & Huysmans, Johan & Vanthienen, Jan, 2007. "Forecasting and analyzing insurance companies' ratings," International Journal of Forecasting, Elsevier, vol. 23(3), pages 513-529.
- Rösch, Daniel & Scheule, Harald, 2009. "Credit rating impact on CDO evaluation," Global Finance Journal, Elsevier, vol. 19(3), pages 235-251.
- Gann, Philipp & Laut, Amelie, 2008. "Einflussfaktoren auf den Credit Spread von Unternehmensanleihen," Discussion Papers in Business Administration 4231, University of Munich, Munich School of Management.
- Feng, D. & Gourieroux, C. & Jasiak, J., 2008.
"The ordered qualitative model for credit rating transitions,"
Journal of Empirical Finance, Elsevier, vol. 15(1), pages 111-130, January.
- Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
- Koopman, Siem Jan & Lucas, Andre & Klaassen, Pieter, 2005. "Empirical credit cycles and capital buffer formation," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3159-3179, December.
- J. Crook & T. Bellotti, 2012. "Asset correlations for credit card defaults," Applied Financial Economics, Taylor & Francis Journals, vol. 22(2), pages 87-95, January.
- Mahlmann, Thomas, 2006. "Estimation of rating class transition probabilities with incomplete data," Journal of Banking & Finance, Elsevier, vol. 30(11), pages 3235-3256, November.
- Alexander B. Matthies, 2013. "Empirical Research on Corporate Credit-Ratings: A Literature Review," SFB 649 Discussion Papers SFB649DP2013-003, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Illanes, Gabriel & Pena, Alejandro & Sosa Rodriguez, Andrés Ricardo, 2016. "A Macroeconomic Model of Credit Risk in Uruguay," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(4), December.
- Michael Kalkbrener & Akwum Onwunta, 2009. "Validating Structural Credit Portfolio Models," Working Papers 014, COMISEF.
- Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:intfor:v:21:y:2005:i:1:p:37-51. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Haili He). General contact details of provider: http://www.elsevier.com/locate/ijforecast .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.