Investors, the Securitization of Bad Loans, and the Probability of Default

Management Risk ◽

10.1057/9781403948106_11 ◽

2004 ◽

pp. 192-212

Author(s):

Dimitris N. Chorafas

Keyword(s):

Probability Of Default ◽

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Comment in response to “A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems” by M. Carlehed and A. Petrov

The Journal of Risk Model Validation ◽

10.21314/jrmv.2013.110 ◽

2013 ◽

Vol 7 (4) ◽

pp. 73-78

Author(s):

Lawrence Forest ◽

Gaurav Chawla ◽

Scott Aguais

Keyword(s):

Risk Classification ◽

Classification Systems ◽

Probability Of Default

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A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems

The Journal of Risk Model Validation ◽

10.21314/jrmv.2012.091 ◽

2012 ◽

Vol 6 (3) ◽

pp. 3-25 ◽

Author(s):

Magnus Carlehed ◽

Alexander Petrov

Keyword(s):

Risk Classification ◽

Classification Systems ◽

Probability Of Default

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Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio

The Journal of Credit Risk ◽

10.21314/jcr.2013.161 ◽

2013 ◽

Vol 9 (2) ◽

pp. 68-81

Author(s):

Rafael Rodrigues Troiani

Keyword(s):

Credit Card ◽

Gaussian Model ◽

Probability Of Default ◽

Inverse Gaussian

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A credit portfolio framework under dependent risk parameters: probability of default, loss given default and exposure at default

The Journal of Credit Risk ◽

10.21314/jcr.2016.202 ◽

2016 ◽

Vol 12 (1) ◽

pp. 97-119 ◽

Author(s):

Johanna Eckert ◽

Kevin Jakob ◽

Matthias Fischer

Keyword(s):

Probability Of Default ◽

Loss Given Default ◽

Risk Parameters ◽

Credit Portfolio

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Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models

The Journal of Risk Model Validation ◽

10.21314/jrmv.2019.203 ◽

2019 ◽

Author(s):

Lukasz Prorokowski

Keyword(s):

Internal Models ◽

Probability Of Default ◽

Practical Recommendations

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Point-in-time probability of default term structure models for multiperiod scenario loss projection

The Journal of Risk Model Validation ◽

10.21314/jrmv.2017.164 ◽

2017 ◽

Author(s):

Bill Huajian Yang

Keyword(s):

Term Structure ◽

Probability Of Default ◽

Term Structure Models

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The Option-iPoD - The Probability of Default Implied by Option Prices Based on Entropy

SSRN Electronic Journal ◽

10.2139/ssrn.1339927 ◽

2009 ◽

Author(s):

Christian Capuano

Keyword(s):

Probability Of Default ◽

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Hierarchical Modeling of Residential Default: Does State Level Foreclosure and Predatory Lending Legislation Limit 'Bad' Loans?

SSRN Electronic Journal ◽

10.2139/ssrn.1408212 ◽

2009 ◽

Author(s):

Allen C. Goodman ◽

Brent C Smith

Keyword(s):

Hierarchical Modeling ◽

State Level ◽

Predatory Lending ◽

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Probability of Default and Pricing of a Risky Bond in a Preference Economy

SSRN Electronic Journal ◽

10.2139/ssrn.1633558 ◽

2010 ◽

Author(s):

Vacslav Glukhov

Keyword(s):

Probability Of Default

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Predicting Probability of Default of Russian Public Companies on the Basis of Financial and Market Variables

SSRN Electronic Journal ◽

10.2139/ssrn.1672826 ◽

2010 ◽

Author(s):

Victor Maleev ◽

Tatiana Nikolenko

Keyword(s):

Probability Of Default ◽

Public Companies ◽

Market Variables

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