From default probabilities to credit spreads: Credit risk models do explain market prices

Finance Research Letters ◽

10.1016/j.frl.2006.01.004 ◽

2006 ◽

Vol 3 (2) ◽

pp. 79-95 ◽

Author(s):

Stefan M. Denzler ◽

Michel M. Dacorogna ◽

Ulrich A. Müller ◽

Alexander J. McNeil

Keyword(s):

Credit Risk ◽

Credit Spreads ◽

Risk Models ◽

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From default probabilities to credit spreads: credit risk models explain market prices (Keynote Address)

10.1117/12.618937 ◽

2005 ◽

Author(s):

Stefan M. Denzler ◽

Michel M. Dacorogna ◽

Ulrich A. Muller ◽

Alexander J. McNeil

Keyword(s):

Credit Risk ◽

Credit Spreads ◽

Keynote Address ◽

Risk Models ◽

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Estimating structural credit risk models when market prices are contaminated with noise

Applied Stochastic Models in Business and Industry ◽

10.1002/asmb.2120 ◽

2015 ◽

Vol 32 (1) ◽

pp. 18-32 ◽

Author(s):

Tae Yeon Kwon†‡ ◽

Yoonjung Lee

Keyword(s):

Credit Risk ◽

Risk Models ◽

Market Prices ◽

Structural Credit Risk Models

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An Empirical Study of Structural Credit Risk Models Using Stock and Bond Prices

10.2469/dig.v34.n4.1562 ◽

2004 ◽

Vol 34 (4) ◽

pp. 32-33

Author(s):

Lorne Jeremy Zeiler

Keyword(s):

Empirical Study ◽

Credit Risk ◽

Risk Models ◽

Bond Prices ◽

Structural Credit Risk Models

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Breaking correlation breakdowns: non-parametric estimation of downturn correlations and their application in credit risk models

The Journal of Risk Model Validation ◽

10.21314/jrmv.2008.031 ◽

2008 ◽

Vol 2 (4) ◽

pp. 13-26

Author(s):

Oleg Burd

Keyword(s):

Credit Risk ◽

Parametric Estimation ◽

Risk Models ◽

Non Parametric Estimation ◽

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Recalibrating credit risk models – a theoretical perspective with practical implications

The Journal of Risk Model Validation ◽

10.21314/jrmv.2008.025 ◽

2008 ◽

Vol 2 (3) ◽

pp. 3-10

Author(s):

Lawrence Antioch

Keyword(s):

Credit Risk ◽

Theoretical Perspective ◽

Risk Models ◽

Practical Implications

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The application of credit risk models to macroeconomic scenario analysis and stress testing

The Journal of Credit Risk ◽

10.21314/jcr.2016.208 ◽

2016 ◽

Vol 12 (2) ◽

pp. 1-45 ◽

Author(s):

Jimmy Skoglund ◽

Wei Chen

Keyword(s):

Credit Risk ◽

Scenario Analysis ◽

Stress Testing ◽

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Selection versus averaging of logistic credit risk models

The Journal of Risk ◽

10.21314/jor.2014.285 ◽

2014 ◽

Vol 16 (5) ◽

pp. 39-52 ◽

Author(s):

Evelyn Hayden ◽

Alex Stomper ◽

Arne Westerkamp

Keyword(s):

Credit Risk ◽

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Evaluating credit risk models using loss density forecasts

The Journal of Risk ◽

10.21314/jor.2003.085 ◽

2003 ◽

Vol 5 (4) ◽

pp. 1-23 ◽

Keyword(s):

Credit Risk ◽

Risk Models ◽

Density Forecasts

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A Note on Fitting Markov Operator Credit Risk Models

SSRN Electronic Journal ◽

10.2139/ssrn.1148584 ◽

2008 ◽

Author(s):

Harley Thompson ◽

Jonathan Harris

Keyword(s):

Credit Risk ◽

Markov Operator ◽

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Survey of Credit Risk Models in Relation to Capital Adequacy Framework for Financial Institutions

SSRN Electronic Journal ◽

10.2139/ssrn.1625254 ◽

2006 ◽

Author(s):

Poomjai Nacaskul

Keyword(s):

Credit Risk ◽

Financial Institutions ◽

Capital Adequacy ◽

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