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Citations for "Parameterizing credit risk models with rating data"

by Carey, Mark & Hrycay, Mark

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  1. Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2005. "Exploring interactions between real activity and the financial stance," Journal of Financial Stability, Elsevier, vol. 1(3), pages 308-341, April.
  2. Simone Varotto, 2011. "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing, vol. 7(2), pages 134-152, April.
  3. Timo Fischer & Gaétan de Rassenfosse, 2011. "Debt Financing of High-growth Startups," DRUID Working Papers 11-04, DRUID, Copenhagen Business School, Department of Industrial Economics and Strategy/Aalborg University, Department of Business Studies.
  4. André Güttler & Walter Kraemer, 2008. "On Comparing the Accuracy of Default Predictions in the Rating Industry," CESifo Working Paper Series 2202, CESifo Group Munich.
  5. Altman, Edward I. & Rijken, Herbert A., 2004. "How rating agencies achieve rating stability," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2679-2714, November.
  6. Grunert, Jens & Norden, Lars & Weber, Martin, 2002. "The Role of Non-financial Factors in Internal Credit Ratings," CEPR Discussion Papers 3415, C.E.P.R. Discussion Papers.
  7. Carling, Kenneth & Jacobson, Tor & Lindé, Jesper & Roszbach, Kasper, 2002. "Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macro Economy," Working Paper Series 142, Sveriges Riksbank (Central Bank of Sweden).
  8. Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2011. "Firm default and aggregate fluctuations," International Finance Discussion Papers 1029, Board of Governors of the Federal Reserve System (U.S.).
  9. Leonard I. Nakamura & Kasper Roszbach., 2013. "Credit ratings and bank monitoring ability," Working Papers 13-21, Federal Reserve Bank of Philadelphia.
  10. Verónica Balzarotti & Christian Castro & Andrew Powell, 2004. "Reforming Capital Requirements in Emerging Countries: Calibrating Basel II using Historical Argentine Credit Bureau Data and CreditRisk+," Business School Working Papers capitalreqemerging, Universidad Torcuato Di Tella.
  11. Jacobson, Tor & Linde, Jesper & Roszbach, Kasper, 2006. "Internal ratings systems, implied credit risk and the consistency of banks' risk classification policies," Journal of Banking & Finance, Elsevier, vol. 30(7), pages 1899-1926, July.
  12. Seth B. Carpenter & William Whitesell & Egon Zakrajsek, 2001. "Capital requirements, business loans, and business cycles: an empirical analysis of the standardized approach in the new Basel Capital Accord," Finance and Economics Discussion Series 2001-48, Board of Governors of the Federal Reserve System (U.S.).
  13. Simone Varotto, 2007. "Tests on the Accuracy of Basel II," ICMA Centre Discussion Papers in Finance icma-dp2007-09, Henley Business School, Reading University.
  14. Simone Varotto, 2011. "Liquidity Risk, Credit Risk, Market Risk and Bank Capital," ICMA Centre Discussion Papers in Finance icma-dp2011-02, Henley Business School, Reading University.
  15. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002. "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers 02-107/2, Tinbergen Institute.
  16. Stefanescu, Catalina & Tunaru, Radu & Turnbull, Stuart, 2009. "The credit rating process and estimation of transition probabilities: A Bayesian approach," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 216-234, March.
  17. Nakamura, L.I. & Roszbach, K., 2010. "Credit Ratings and Bank Monitoring Ability," Discussion Paper 2010-37S, Tilburg University, Center for Economic Research.
  18. Giulio Bottazzi & Marco Grazzi & Angelo Secchi & Federico Tamagni, 2009. "Financial and economic determinants of firm default," LEM Papers Series 2009/06, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
  19. Jens Hilscher & Mungo Wilson, 2011. "Credit ratings and credit risk," Working Papers 31, Brandeis University, Department of Economics and International Businesss School.
  20. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
  21. Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2008. "The optimal structure of PD buckets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2275-2286, October.
  22. Gordy, Michael B. & Howells, Bradley, 2006. "Procyclicality in Basel II: Can we treat the disease without killing the patient?," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 395-417, July.
  23. Duan, Jin-Chuan & Van Laere, Elisabeth, 2012. "A public good approach to credit ratings – From concept to reality," Journal of Banking & Finance, Elsevier, vol. 36(12), pages 3239-3247.
  24. Loffler, Gunter, 2005. "Avoiding the rating bounce: why rating agencies are slow to react to new information," Journal of Economic Behavior & Organization, Elsevier, vol. 56(3), pages 365-381, March.
  25. Lutz Hahnenstein, 2004. "Calibrating the CreditMetrics™ correlation concept — Empirical evidence from Germany," Financial Markets and Portfolio Management, Springer, vol. 18(4), pages 358-381, December.
  26. 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.
  27. Gunter Loffler, 2004. "Implied asset value distributions," Applied Financial Economics, Taylor & Francis Journals, vol. 14(12), pages 875-883.
  28. Daniel Rösch & Harald Scheule, 2011. "Securitization rating performance and agency incentives," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 287-314 Bank for International Settlements.
  29. Loffler, Gunter, 2004. "An anatomy of rating through the cycle," Journal of Banking & Finance, Elsevier, vol. 28(3), pages 695-720, March.
  30. Sebastian Ebert & Eva Lütkebohmert, 2009. "Improved Modeling of Double Default Effects in Basel II - An Endogenous Asset Drop Model without Additional Correlation," Bonn Econ Discussion Papers bgse24_2009, University of Bonn, Germany.
  31. Tsai, Ming-Shann & Chen, Lien-Chuan, 2011. "The calculation of capital requirement using Extreme Value Theory," Economic Modelling, Elsevier, vol. 28(1-2), pages 390-395, January.
  32. 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.
  33. Tor Jacobson & Jesper Lindé & Kasper Roszbach, 2005. "Credit Risk Versus Capital Requirements under Basel II: Are SME Loans and Retail Credit Really Different?," Journal of Financial Services Research, Springer, vol. 28(1), pages 43-75, October.
  34. Bank for International Settlements, 2011. "Portfolio and risk management for central banks and sovereign wealth funds," BIS Papers, Bank for International Settlements, number 58, May.
  35. Ralf Sabiwalsky, 2012. "Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?," SFB 649 Discussion Papers SFB649DP2012-008, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  36. Manzoni, Katiuscia, 2004. "Modeling Eurobond credit ratings and forecasting downgrade probability," International Review of Financial Analysis, Elsevier, vol. 13(3), pages 277-300.
  37. Carling, Kenneth & Rönnegård, Lars & Roszbach, Kasper, 2004. "Is Firm Interdependence within Industries Important for Portfolio Credit Risk?," Working Paper Series 168, Sveriges Riksbank (Central Bank of Sweden).
  38. Siem Jan Koopman & André Lucas & Pieter Klaassen, 2002. "Pro-Cyclicality, Empirical Credit Cycles, and Capital Buffer Formation," Tinbergen Institute Discussion Papers 02-107/2, Tinbergen Institute.
  39. Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2007. "Using differential evolution to improve the accuracy of bank rating systems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 68-87, September.
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