Measuring the Discriminative Power of Rating Systems
Download full text from publisher
References listed on IDEAS
- Dirk Tasche, 2002. "Remarks on the monotonicity of default probabilities," Papers cond-mat/0207555, arXiv.org.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Rafael Repullo & Jesús Saurina & Carlos Trucharte, 2010.
"Mitigating the pro-cyclicality of Basel II,"
CEPR;CES;MSH, vol. 25, pages 659-702, October.
- Repullo, Rafael & Saurina, Jesús & Trucharte, Carlos, 2009. "Mitigating the Procyclicality of Basel II," CEPR Discussion Papers 7382, C.E.P.R. Discussion Papers.
- Rafael Repullo & Jesús Saurina & Carlos Trucharte, 2010. "Mitigating the pro-cyclicality of Basel II," Working Papers 1028, Banco de España;Working Papers Homepage.
- Rafael Repullo & Jesús Saurina & Carlos Trucharte, 2009. "Mitigating the Procyclicality of Basel II," Working Papers wp2009_0903, CEMFI.
- Zvika Afik & Ohad Arad & Koresh Galil, 2012.
"Using Merton model: an empirical assessment of alternatives,"
1202, Ben-Gurion University of the Negev, Department of Economics.
- Zvika Afik & Ohad Arad & Koresh Galil, 2015. "Using Merton model: an empirical assessment of alternatives," Working Papers 1503, Ben-Gurion University of the Negev, Department of Economics.
- Edward Altman & Gabriele Sabato, 2005. "Effects of the New Basel Capital Accord on Bank Capital Requirements for SMEs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 28(1), pages 15-42, October.
- En-Der Su & Shih-Ming Huang, 2010. "Comparing Firm Failure Predictions Between Logit, KMV, and ZPP Models: Evidence from Taiwan’s Electronics Industry," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 17(3), pages 209-239, September.
- Dierkes, Maik & Erner, Carsten & Langer, Thomas & Norden, Lars, 2013. "Business credit information sharing and default risk of private firms," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2867-2878.
- Rodriguez, Adolfo & Trucharte, Carlos, 2007. "Loss coverage and stress testing mortgage portfolios: A non-parametric approach," Journal of Financial Stability, Elsevier, vol. 3(4), pages 342-367, December.
- Martin Rezac & Frantisek Rezac, 2011. "How to Measure the Quality of Credit Scoring Models," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 61(5), pages 486-507, November.
- Alexandros Benos & George Papanastasopoulos, 2005. "Extending the Merton Model: A Hybrid Approach to Assessing Credit Quality," Finance 0505020, EconWPA, revised 18 Nov 2005.
- Wolfgang Karl HÃ¤rdle & Dedy Dwi Prastyo & Christian Hafner, 2012. "Support Vector Machines with Evolutionary Feature Selection for Default Prediction," SFB 649 Discussion Papers SFB649DP2012-030, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Radu Muntean, 2009. "Early Warning Models for Banking Supervision in Romania," Advances in Economic and Financial Research - DOFIN Working Paper Series 39, Bucharest University of Economics, Center for Advanced Research in Finance and Banking - CARFIB.
- 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.
- Han-Hsing Lee & Kuanyu Shih & Kehluh Wang, 2016. "Measuring sovereign credit risk using a structural model approach," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1097-1128, November.
- Afik, Zvika & Arad, Ohad & Galil, Koresh, 2016. "Using Merton model for default prediction: An empirical assessment of selected alternatives," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 43-67.
- Maik Dierkes & Carsten Erner & Thomas Langer & Lars Norden, 2012. "Business credit information sharing and default risk of private firms," Mo.Fi.R. Working Papers 64, Money and Finance Research group (Mo.Fi.R.) - Univ. Politecnica Marche - Dept. Economic and Social Sciences.
- Laura Auria & Rouslan A. Moro, 2008. "Support Vector Machines (SVM) as a Technique for Solvency Analysis," Discussion Papers of DIW Berlin 811, DIW Berlin, German Institute for Economic Research.
- Costeiu, Adrian & Neagu, Florian, 2013. "Bridging the banking sector with the real economy: a financial stability perspective," Working Paper Series 1592, European Central Bank.
- Xu, Xin, 2013. "Forecasting Bankruptcy with Incomplete Information," MPRA Paper 55024, University Library of Munich, Germany, revised 31 Mar 2014.
- João Fernandes, 2005. "Corporate Credit Risk Modeling: Quantitative Rating System And Probability Of Default Estimation," Finance 0505013, EconWPA.
- Stefan Hlawatsch, 2009. "A Framework for LGD Validation of Retail Portfolios," FEMM Working Papers 09025, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
More about this item
KeywordsValidation; Rating Models; Credit Analysis;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
StatisticsAccess and download statistics
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:zbw:bubdp2:2225. 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: (ZBW - German National Library of Economics). General contact details of provider: http://edirc.repec.org/data/dbbgvde.html .