Credit Risk Management
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Cited by:
- Казакова К.А. & Князев А.Г. & Лепёхин О.А., 2015. "Оптимальный размер банковского резерва: прогноз просроченной кредитной задолженности с использованием копулярных моделей. Optimum volume of bank reserve: forecasting of overdue credit indebtedness usi," Мир экономики и управления // Вестник НГУ. Cерия: Cоциально-экономические науки, Socionet;Новосибирский государственный университет, vol. 15(4), pages 59-76.
- repec:spr:manint:v:54:y:2014:i:1:d:10.1007_s11575-013-0198-8 is not listed on IDEAS
- Брагин Антон Игоревич & Кузнецов Евгений Николаевич, 2011. "Анализ Значений Суверенного Кредитного Рейтинга И Его Моделирование," Российский внешнеэкономический вестник, CyberLeninka;Государственное образовательное учреждение Высшего профессионального образования Всероссийская академия внешней торговли Минэкономразвития России, vol. 2011(12), pages 21-36.
- Sangcheol Song, 2014. "Entry mode irreversibility, host market uncertainty, and foreign subsidiary exits," Asia Pacific Journal of Management, Springer, vol. 31(2), pages 455-471, June.
- Alina Mihaela Dima & Simona Vasilache, 2016. "Credit Risk modeling for Companies Default Prediction using Neural Networks," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(3), pages 127-143, September.
- Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.
- Silvia FIGINI & Ron S. KENETT & Silvia SALINI, 2010. "Integrating operational and financial risk assessments," Departmental Working Papers 2010-02, Department of Economics, Management and Quantitative Methods at Università degli Studi di Milano.
- repec:pal:jorsoc:v:68:y:2017:i:6:d:10.1057_s41274-016-0128-9 is not listed on IDEAS
- Fantazzini , Dean, 2009. "Credit Risk Management (Cont.)," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 13(1), pages 105-138.
- Raffaella Calabrese, 2011. "Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs," Working Papers 201134, Geary Institute, University College Dublin.
- Ana Paula Matias Gama & Helena Susana Amaral Geraldes, 2012. "Credit risk assessment and the impact of the New Basel Capital Accord on small and medium-sized enterprises: An empirical analysis," Management Research Review, Emerald Group Publishing, vol. 35(8), pages 727-749, July.
- Bologov , Yaroslav, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 29(1), pages 45-66.
- Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
More about this item
Keywords
Credit Risk; Discriminant Analysis; Altman Model; Logit models; ROC; AUC; Loss Functions; Panel Models; Merton Model; ZPP; Recovery Rate; Exposure at Default; Value at Risk; Expected Shortfall;JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
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