Modelling tail credit risk using transition matrices
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References listed on IDEAS
- David E. Allen & Robert Powell, 2009. "Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(3), pages 425-444.
- Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
- Thomas C. Wilson, 1998. "Portfolio credit risk," Economic Policy Review, Federal Reserve Bank of New York, issue Oct, pages 71-82.
- 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.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Michael McAleer & Felix Chan & Les Oxley, 2013.
"Modeling and Simulation: An Overview,"
Working Papers in Economics
13/18, University of Canterbury, Department of Economics and Finance.
- Michael McAleer & Felix Chan & Les Oxley, 2013. "Modelling and Simulation: An Overview," Tinbergen Institute Discussion Papers 13-069/III, Tinbergen Institute.
- Michael McAleer & Les Oxley & Felix Chan, 2013. "Modelling and Simulation: An Overview," Documentos de Trabajo del ICAE 2013-16, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- McAleer, M.J. & Chan, F. & Oxley, L., 2013. "Modelling and Simulation: An Overview," Econometric Institute Research Papers EI2013-19, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Felix Chan & Les Oxley, 2013. "Modelling and Simulation: An Overview," KIER Working Papers 865, Kyoto University, Institute of Economic Research.
- Kun Liang & Cuiqing Jiang & Zhangxi Lin & Weihong Ning & Zelin Jia, 2017. "The nature of sellers’ cyber credit in C2C e-commerce: the perspective of social capital," Electronic Commerce Research, Springer, vol. 17(1), pages 133-147, March.
More about this item
KeywordsCredit models; Conditional Value at Risk; Probability of default; Transition matrix;
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