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Validating Structural Credit Portfolio Models

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  • Michael Kalkbrener
  • Akwum Onwunta

Abstract

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  • Michael Kalkbrener & Akwum Onwunta, 2009. "Validating Structural Credit Portfolio Models," Working Papers 014, COMISEF.
  • Handle: RePEc:com:wpaper:014
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    File URL: http://comisef.eu/files/wps014.pdf
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    References listed on IDEAS

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    1. 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.
    2. Koopman, Siem Jan & Lucas, André, 2008. "A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 510-525.
    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. 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.
    5. 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.
    6. 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.
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    Cited by:

    1. Perederiy, Volodymyr, 2015. "Endogenous derivation and forecast of lifetime PDs," MPRA Paper 65679, University Library of Munich, Germany.

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