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A comparative analysis of current credit risk models

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Cited by:

  1. T H Moon & S Y Sohn, 2010. "Technology credit scoring model considering both SME characteristics and economic conditions: The Korean case," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 61(4), pages 666-675, April.
  2. Aßmuth, Pascal, 2015. "Stock price related financial fragility and growth patterns," Center for Mathematical Economics Working Papers 539, Center for Mathematical Economics, Bielefeld University.
  3. Abdelkader Derbali, 2018. "How the default probability is defined by the CreditRisk+ model?," Working Papers hal-01696011, HAL.
  4. Jahn, Nadya & Memmel, Christoph & Pfingsten, Andreas, 2013. "Banks' concentration versus diversification in the loan portfolio: New evidence from Germany," Discussion Papers 53/2013, Deutsche Bundesbank.
  5. Ming Pu & Gang-Zhi Fan & Chunsheng Ban, 2016. "The Pricing of Mortgage Insurance Premiums Under Systematic and Idiosyncratic Shocks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(2), pages 447-474, June.
  6. Bonfim, Diana, 2009. "Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics," Journal of Banking & Finance, Elsevier, vol. 33(2), pages 281-299, February.
  7. Suzan Hol, 2006. "The influence of the business cycle on bankruptcy probability," Discussion Papers 466, Statistics Norway, Research Department.
  8. Gürtler, Marc & Heithecker, Dirk, 2005. "Systematic credit cycle risk of financial collaterals: Modelling and evidence," Working Papers FW15V2, Technische Universität Braunschweig, Institute of Finance.
  9. Guerra, Solange Maria & Silva, Thiago Christiano & Tabak, Benjamin Miranda & de Souza Penaloza, Rodrigo Andrés & de Castro Miranda, Rodrigo César, 2016. "Systemic risk measures," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 442(C), pages 329-342.
  10. Kern, Markus & Rudolph, Bernd, 2001. "Comparative analysis of alternative credit risk models: An application on German middle market loan portfolios," CFS Working Paper Series 2001/03, Center for Financial Studies (CFS).
  11. Pesaran, M. Hashem & Schuermann, Til & Treutler, Bjorn-Jakob & Weiner, Scott M., 2006. "Macroeconomic Dynamics and Credit Risk: A Global Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(5), pages 1211-1261, August.
  12. Wozabal, David & Hochreiter, Ronald, 2012. "A coupled Markov chain approach to credit risk modeling," Journal of Economic Dynamics and Control, Elsevier, vol. 36(3), pages 403-415.
  13. Giesecke, Kay & Weber, Stefan, 2003. "Cyclical correlations, credit contagion, and portfolio losses," SFB 373 Discussion Papers 2003,11, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  14. Paul S. Calem & Michael LaCour-Little, 2001. "Risk-based capital requirements for mortgage loans," Finance and Economics Discussion Series 2001-60, Board of Governors of the Federal Reserve System (U.S.), revised 2001.
  15. Kexue Liu & Jean Salvati & Renzo G Avesani & Alin T Mirestean, 2006. "Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)," IMF Working Papers 06/134, International Monetary Fund.
  16. Christian Gouriéroux & Alain Monfort, 2017. "Composite Indirect Inference with Application," Working Papers 2017-07, Center for Research in Economics and Statistics, revised 28 Mar 2017.
  17. Simone Varotto, 2008. "An Assessment of the Internal Rating Based Approach in Basel II," ICMA Centre Discussion Papers in Finance icma-dp2008-04, Henley Business School, Reading University.
  18. Loffler, Gunter, 2003. "The effects of estimation error on measures of portfolio credit risk," Journal of Banking & Finance, Elsevier, vol. 27(8), pages 1427-1453, August.
  19. Zhang, Xi & Li, Jian, 2018. "Credit and market risks measurement in carbon financing for Chinese banks," Energy Economics, Elsevier, vol. 76(C), pages 549-557.
  20. Giesecke, Kay, 2002. "Compensator-based simulation of correlated defaults," SFB 373 Discussion Papers 2002,47, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  21. Pascal Aßmuth, 2018. "The Impact of Credit Rating on Innovation in a Two-Sector Evolutionary Model," Computational Economics, Springer;Society for Computational Economics, vol. 52(3), pages 839-872, October.
  22. Hanson, Samuel G. & Pesaran, M. Hashem & Schuermann, Til, 2008. "Firm heterogeneity and credit risk diversification," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 583-612, September.
  23. Greta Falavigna, 2006. "Models for Default Risk Analysis: Focus on Artificial Neural Networks, Model Comparisons, Hybrid Frameworks," CERIS Working Paper 200610, Institute for Economic Research on Firms and Growth - Moncalieri (TO) ITALY -NOW- Research Institute on Sustainable Economic Growth - Moncalieri (TO) ITALY.
  24. Georges Dionne & Sadok Laajimi & Sofiane Mejri & Madalina Petrescu, 2006. "Estimation of the Default Risk of Publicly Traded Canadian Companies," Cahiers de recherche 0613, CIRPEE.
  25. Byström, Hans, 2016. "The Currency Composition of Firms' Balance Sheets and its Effect on Asset Value Correlations and Capital Requirements," Working Papers 2016:1, Lund University, Department of Economics.
  26. Ulrich Erlenmaier & Hans Gersbach, 2014. "Default Correlations in the Merton Model," Review of Finance, European Finance Association, vol. 18(5), pages 1775-1809.
  27. Morris, Stephen & Shin, Hyun Song, 2004. "Coordination risk and the price of debt," European Economic Review, Elsevier, vol. 48(1), pages 133-153, February.
  28. Correia, Maria & Kang, Johnny & Richardson, Scott, 2018. "Asset volatility," LSE Research Online Documents on Economics 84405, London School of Economics and Political Science, LSE Library.
  29. Arsalan Azamighaimasi, 2013. "Portfolio Risk and Dependence Modeling," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 4(1), pages 151-158, January.
  30. Georges Dionne, 2003. "The Foundations of Banks' Risk Regulation: a Review of the Literature," Cahiers de recherche 0346, CIRPEE.
  31. Szego, Giorgio, 2002. "Measures of risk," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1253-1272, July.
  32. Jakub Seidler, 2008. "Implied Market Loss Given Default: structural-model approach," Working Papers IES 2008/26, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2008.
  33. Loffler, Gunter, 2004. "An anatomy of rating through the cycle," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 695-720, March.
  34. Lee, Shih-Cheng & Lin, Chien-Ting & Yang, Chih-Kai, 2011. "The asymmetric behavior and procyclical impact of asset correlations," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2559-2568, October.
  35. Allen, D.E. & Kramadibrata, A.R. & Powell, R.J. & Singh, A.K., 2013. "Modelling tail credit risk using transition matrices," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 93(C), pages 67-75.
  36. Bag, Pinaki, 2010. "Exposure at Default Model for Contingent Credit Line," MPRA Paper 20387, University Library of Munich, Germany.
  37. Horváth, Edit, 2001. "A hitelkockázat és a feltételes követelés modellje [The model of credit risk and conditional claims]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(5), pages 430-441.
  38. Yu-Fu Chen & Michael Funke & Kadri Männasoo, 2005. "Extracting Leading Indicators of Bank Fragility from Market Prices - Estonia Focus," Dundee Discussion Papers in Economics 185, Economic Studies, University of Dundee.
  39. Pamela Nickell & William Perraudin & Simone Varotto, 2001. "Ratings versus equity-based credit risk modelling: an empirical analysis," Bank of England working papers 132, Bank of England.
  40. Patrick Gagliardini, 2005. "Stochastic Migration Models with Application to Corporate Risk," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(2), pages 188-226.
  41. Javier Márquez Diez-Canedo, 2005. "A simplified credit risk model for supervisory purposes in emerging markets," BIS Papers chapters, in: Bank for International Settlements (ed.),Investigating the relationship between the financial and real economy, volume 22, pages 328-60, Bank for International Settlements.
  42. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Counterparty Risk Valuation with a Scenario based First Passage Model," Papers 0912.3031, arXiv.org.
  43. repec:onb:oenbwp:y:2002:i:3:b:3 is not listed on IDEAS
  44. Stephen Zamore & Kwame Ohene Djan & Ilan Alon & Bersant Hobdari, 2018. "Credit Risk Research: Review and Agenda," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(4), pages 811-835, March.
  45. Szego, Giorgio, 2005. "Measures of risk," European Journal of Operational Research, Elsevier, vol. 163(1), pages 5-19, May.
  46. Correa, Arnildo & Marins, Jaqueline & Neves, Myrian & da Silva, Antonio Carlos, 2014. "Credit Default and Business Cycles: An Empirical Investigation of Brazilian Retail Loans," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(3), September.
  47. Kanak Patel & Ricardo Pereira, 2007. "Expected Default Probabilities in Structural Models: Empirical Evidence," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 107-133, January.
  48. Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April.
  49. Racheva-Sarabian, Anna & Ryvkin, Dmitry & Semykina, Anastasia, 2015. "The default of special district financing: Evidence from California," Journal of Housing Economics, Elsevier, vol. 27(C), pages 37-48.
  50. Souza, Sergio Rubens Stancato de & Silva, Thiago Christiano & Tabak, Benjamin Miranda & Guerra, Solange Maria, 2016. "Evaluating systemic risk using bank default probabilities in financial networks," Journal of Economic Dynamics and Control, Elsevier, vol. 66(C), pages 54-75.
  51. Harald Hau & Sam Langfield & David Marques-Ibanez, 2013. "Bank ratings: what determines their quality?," Economic Policy, CEPR;CES;MSH, vol. 28(74), pages 289-333, April.
  52. Weißbach, Rafael & von Lieres und Wilkau, Carsten, 2005. "On Partial Defaults in Portfolio Credit Risk : A Poisson Mixture Model Approach," Technical Reports 2005,06, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  53. Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2019. "Measuring expected time to default under stress conditions for corporate loans," Empirical Economics, Springer, vol. 57(1), pages 31-52, July.
  54. Yan, Alice Xie & Shi, Jian & Wu, Chunchi, 2008. "Do macroeconomic variables matter for pricing default risk?," International Review of Economics & Finance, Elsevier, vol. 17(2), pages 279-291.
  55. Frey, Rudiger & McNeil, Alexander J., 2002. "VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1317-1334, July.
  56. Ephraim Clark & Geeta Lakshmi, 2003. "Controlling the risk: a case study of the Indian liquidity crisis 1990-92," Journal of International Development, John Wiley & Sons, Ltd., vol. 15(3), pages 285-298.
  57. Lothar Knüppel & Oliver Hermsen, 2010. "Median split, k-group split, and optimality in continuous populations," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 94(1), pages 53-74, March.
  58. Christian Gouriéroux & Alain Monfort & Eric Renault, 2017. "Consistent Pseudo-Maximum Likelihood Estimators," Annals of Economics and Statistics, GENES, issue 125-126, pages 187-218.
  59. Gourieroux, C. & Monfort, A., 2018. "Composite indirect inference with application to corporate risks," Econometrics and Statistics, Elsevier, vol. 7(C), pages 30-45.
  60. Varotto, Simone, 2012. "Stress testing credit risk: The Great Depression scenario," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3133-3149.
  61. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Risk Assessment for Banking Systems," Management Science, INFORMS, vol. 52(9), pages 1301-1314, September.
  62. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
  63. Kabir, Md. Nurul & Worthington, Andrew & Gupta, Rakesh, 2015. "Comparative credit risk in Islamic and conventional bank," Pacific-Basin Finance Journal, Elsevier, vol. 34(C), pages 327-353.
  64. Thilo A. Schmitt & Rudi Schafer & Thomas Guhr, 2016. "Credit risk: Taking fluctuating asset correlations into account," Papers 1601.03015, arXiv.org.
  65. Perko, Igor, 2017. "Behaviour-based short-term invoice probability of default evaluation," European Journal of Operational Research, Elsevier, vol. 257(3), pages 1045-1054.
  66. Byström, Hans, 2017. "The currency composition of firms' balance sheets, asset value correlations, and capital requirements," Global Finance Journal, Elsevier, vol. 34(C), pages 89-99.
  67. Dorfleitner, G. & Priberny, C., 2013. "A quantitative model for structured microfinance," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 12-22.
  68. 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.
  69. Mejra Festić, 2006. "Procyclicality of Financial and Real Sector in Transition Economies," Prague Economic Papers, University of Economics, Prague, vol. 2006(4), pages 315-349.
  70. Dermine, J. & de Carvalho, C. Neto, 2006. "Bank loan losses-given-default: A case study," Journal of Banking & Finance, Elsevier, vol. 30(4), pages 1219-1243, April.
  71. Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean‐Guy Simonato, 2010. "Default Risk in Corporate Yield Spreads," Financial Management, Financial Management Association International, vol. 39(2), pages 707-731, June.
  72. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
  73. Abdelkader Derbali, 2018. "The Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 14(5), pages 184-216, OCTOBER.
  74. Aßmuth, Pascal, 2017. "Stock price related financial fragility and growth patterns," Economics Discussion Papers 2017-108, Kiel Institute for the World Economy (IfW).
  75. Abdelkader Derbali, 2018. "The Credit Portfolio Management by the Econometric Models: A Theoretical Analysis," Acta Universitatis Danubius. OEconomica, Danubius University of Galati, issue 14(4), pages 612-618, AUGUST.
  76. Jackson, Patricia & Perraudin, William, 2000. "Regulatory implications of credit risk modelling," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 1-14, January.
  77. Claudio Borio & Craig Furfine & Philip Lowe, 2001. "Procyclicality of the financial system and financial stability: issues and policy options," BIS Papers chapters, in: Bank for International Settlements (ed.),Marrying the macro- and micro-prudential dimensions of financial stability, volume 1, pages 1-57, Bank for International Settlements.
  78. Birge, John R. & Júdice, Pedro, 2013. "Long-term bank balance sheet management: Estimation and simulation of risk-factors," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4711-4720.
  79. Ren-Her Wang & John Aston & Cheng-Der Fuh, 2010. "The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model," Computational Economics, Springer;Society for Computational Economics, vol. 36(4), pages 283-307, December.
  80. repec:onb:oenbwp:y:2004:i:7:b:1 is not listed on IDEAS
  81. Giovanni Butera & Robert Faff, 2006. "An integrated multi-model credit rating system for private firms," Review of Quantitative Finance and Accounting, Springer, vol. 27(3), pages 311-340, November.
  82. Edirisinghe, Chanaka & Gupta, Aparna & Roth, Wendy, 2015. "Risk assessment based on the analysis of the impact of contagion flow," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 209-223.
  83. Böninghausen, Benjamin & Köhler, Matthias, 2015. "Diversification and determinants of international credit portfolios: Evidence from German banks," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 57-75.
  84. Pankaj Baag, 2014. "Predicting The Probability Of Default Using Asset Correlation Of A Loan Portfolio," Working papers 151, Indian Institute of Management Kozhikode.
  85. Dai Pra, Paolo & Tolotti, Marco, 2009. "Heterogeneous credit portfolios and the dynamics of the aggregate losses," Stochastic Processes and their Applications, Elsevier, vol. 119(9), pages 2913-2944, September.
  86. Tom Fischer, 2014. "No-Arbitrage Pricing Under Systemic Risk: Accounting For Cross-Ownership," Mathematical Finance, Wiley Blackwell, vol. 24(1), pages 97-124, January.
  87. Li, Chen & Li, Xiaohu, 2019. "Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 84-91.
  88. Damiano Brigo & Andrea Pallavicini, 2013. "CCPs, Central Clearing, CSA, Credit Collateral and Funding Costs Valuation FAQ: Re-hypothecation, CVA, Closeout, Netting, WWR, Gap-Risk, Initial and Variation Margins, Multiple Discount Curves, FVA?," Papers 1312.0128, arXiv.org, revised Dec 2013.
  89. Ivan Alves, 2005. "Sectoral fragility: factors and dynamics," BIS Papers chapters, in: Bank for International Settlements (ed.),Investigating the relationship between the financial and real economy, volume 22, pages 450-80, Bank for International Settlements.
  90. Abaffy, J. & Bertocchi, M. & Dupacova, J. & Moriggia, V. & Consigli, G., 2007. "Pricing nondiversifiable credit risk in the corporate Eurobond market," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2233-2263, August.
  91. Meng-Jou Lu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2017. "Copula-based factor model for credit risk analysis," Review of Quantitative Finance and Accounting, Springer, vol. 49(4), pages 949-971, November.
  92. Sergio Masciantonio & Andrea Zaghini, 2017. "Systemic risk and systemic importance measures during the crisis," Temi di discussione (Economic working papers) 1153, Bank of Italy, Economic Research and International Relations Area.
  93. Stelios Bekiros & Nikolaos Loukeris & Iordanis Eleftheriadis & Christos Avdoulas, 2019. "Tail-Related Risk Measurement and Forecasting in Equity Markets," Computational Economics, Springer;Society for Computational Economics, vol. 53(2), pages 783-816, February.
  94. Perli, Roberto & Nayda, William I., 2004. "Economic and regulatory capital allocation for revolving retail exposures," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 789-809, April.
  95. Narcisa Kadlcakova & Joerg Keplinger, 2004. "Credit Risk and Bank Lending in the Czech Republic," Working Papers 2004/06, Czech National Bank.
  96. Giorgio Consigli & Vittorio Moriggia & Sebastiano Vitali & Lorenzo Mercuri, 2018. "Optimal insurance portfolios risk-adjusted performance through dynamic stochastic programming," Computational Management Science, Springer, vol. 15(3), pages 599-632, October.
  97. Cowan, Adrian M. & Cowan, Charles D., 2004. "Default correlation: An empirical investigation of a subprime lender," Journal of Banking & Finance, Elsevier, vol. 28(4), pages 753-771, April.
  98. Chizhova, Anna, 2007. "Econometric Estimation of Credit Rating Transition Matrices," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 7(3), pages 11-26.
  99. Andreas Muhlbacher & Thomas Guhr, 2018. "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Papers 1803.00261, arXiv.org.
  100. Damiano Brigo, 2011. "Counterparty Risk FAQ: Credit VaR, PFE, CVA, DVA, Closeout, Netting, Collateral, Re-hypothecation, WWR, Basel, Funding, CCDS and Margin Lending," Papers 1111.1331, arXiv.org, revised Jun 2012.
  101. Memmel, Christoph & Gündüz, Yalin & Raupach, Peter, 2015. "The common drivers of default risk," Journal of Financial Stability, Elsevier, vol. 16(C), pages 232-247.
  102. Fantazzini , Dean, 2009. "Econometric Analysis of Financial Data in Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 14(2), pages 100-127.
  103. Michael T. Gapen & Dale F Gray & Cheng Hoon Lim & Yingbin Xiao, 2005. "Measuring and Analyzing Sovereign Risk with Contingent Claims," IMF Working Papers 05/155, International Monetary Fund.
  104. Hwan Lee, Chang & Rhee, Byong-Duk, 2010. "Coordination contracts in the presence of positive inventory financing costs," International Journal of Production Economics, Elsevier, vol. 124(2), pages 331-339, April.
  105. Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1984-2000, August.
  106. Bertrand Rime, 2007. "Could Regional and Cantonal Banks Reduce Credit Risk through National Diversification?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 143(I), pages 49-65, March.
  107. Gunter Loffler, 2004. "Implied asset value distributions," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 875-883.
  108. Michael G. Papaioannou, 2006. "A Primer for Risk Measurement of Bonded Debt from the Perspective of a Sovereign Debt Manager," IMF Working Papers 06/195, International Monetary Fund.
  109. Nancy Eugenia Zamudio Gómez, 2007. "Determinantes de la Probabilidad de Incumplimiento de las Empresas Colombianas," BORRADORES DE ECONOMIA 004292, BANCO DE LA REPÚBLICA.
  110. Wilson Sy, 2007. "A Causal Framework for Credit Default Theory," Research Paper Series 204, Quantitative Finance Research Centre, University of Technology, Sydney.
  111. Damiano Brigo & Marco Tarenghi, 2009. "Credit Default Swap Calibration and Equity Swap Valuation under Counterparty Risk with a Tractable Structural Model," Papers 0912.3028, arXiv.org.
  112. Benedikt Schamberger & Lutz F. Gruber & Claudia Czado, 2017. "Bayesian Inference for Latent Factor Copulas and Application to Financial Risk Forecasting," Econometrics, MDPI, Open Access Journal, vol. 5(2), pages 1-23, May.
  113. COCIUG, Victoria & POSTOLACHE, Victoria, 2017. "The Bank Value Estimation Problem," Journal of Financial and Monetary Economics, Centre of Financial and Monetary Research "Victor Slavescu", vol. 4(1), pages 101-107.
  114. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  115. Schmidt, Rafael & Schmieder, Christian, 2009. "Modelling dynamic portfolio risk using risk drivers of elliptical processes," Insurance: Mathematics and Economics, Elsevier, vol. 44(2), pages 229-244, April.
  116. Lopez, Jose A. & Saidenberg, Marc R., 2000. "Evaluating credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 151-165, January.
  117. Weißbach, Rafael, 2004. "A rule of thumb for the economic capital of a large credit portfolio," Technical Reports 2004,58, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  118. Rodrigo Alfaro A. & Natalia Gallardo S. & Camilo Vio G., 2010. "Análisis de Derechos Contingentes: Aplicación a Casas Comerciales," Notas de Investigación Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 13(1), pages 73-82, April.
  119. Andreea Costea, 2017. "A Quantitative Approach to Credit Risk Management in the Underwriting Process for the Retail Portfolio," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 20(63), pages 157-186, March.
  120. McAndrew, Clare & Thompson, Rex, 2007. "The collateral value of fine art," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 589-607, March.
  121. Joachim Sicking & Thomas Guhr & Rudi Schafer, 2016. "Concurrent Credit Portfolio Losses," Papers 1604.06917, arXiv.org, revised Jan 2017.
  122. Powell, Andrew, 2002. "A capital accord for emerging economies?," Policy Research Working Paper Series 2808, The World Bank.
  123. Kaplanski, Guy & Kroll, Yoram, 2002. "VaR Risk Measures versus Traditional Risk Measures: an Analysis and Survey," MPRA Paper 80070, University Library of Munich, Germany.
  124. Jakub Seidler & Petr Jakubík, 2009. "Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 59(1), pages 20-40, January.
  125. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, August.
  126. Bartram, Sohnke M. & Brown, Gregory W. & Hund, John E., 2007. "Estimating systemic risk in the international financial system," Journal of Financial Economics, Elsevier, vol. 86(3), pages 835-869, December.
  127. Giulio Bottazzi & Marco Grazzi & Angelo Secchi & Federico Tamagni, 2011. "Financial and economic determinants of firm default," Journal of Evolutionary Economics, Springer, vol. 21(3), pages 373-406, August.
  128. Nielsen, Caren Yinxia, 2016. "Banks' Credit-Portfolio Choices and Risk-Based Capital Regulation," Working Papers 2016:9, Lund University, Department of Economics.
  129. Jean-Guy Simonato, 2015. "New Warrant Issues Valuation with Leverage and Equity Model Errors," Journal of Financial Services Research, Springer;Western Finance Association, vol. 47(2), pages 247-272, April.
  130. Kretzschmar, Gavin & McNeil, Alexander J. & Kirchner, Axel, 2010. "Integrated models of capital adequacy - Why banks are undercapitalised," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2838-2850, December.
  131. Mari, Carlo & Reno, Roberto, 2005. "Credit risk analysis of mortgage loans: An application to the Italian market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 83-93, May.
  132. Adriaens, Peter & Tahvanainen, Antti-Jussi, . "Financial Technology for Industrial Renewal," ETLA B, The Research Institute of the Finnish Economy, number 272, February.
  133. Valerio Vacca, 2017. "An Unexpected Crisis? Looking at Pricing Effectiveness of Heterogeneous Banks," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 46(2), pages 171-206, July.
  134. Egami, Masahiko & Esteghamat, Kian, 2006. "An approximation method for analysis and valuation of credit correlation derivatives," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 341-364, February.
  135. Klaus Rheinberger & Martin Summer, 2008. "Credit portfolio risk and asset price cycles," Computational Management Science, Springer, vol. 5(4), pages 337-354, October.
  136. Hui, C.H. & Lo, C.F. & Wong, T.C. & Man, P.K., 2006. "Measuring provisions for collateralised retail lending," Journal of Economics and Business, Elsevier, vol. 58(4), pages 343-361.
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