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Computing the survival probability in the Madan–Unal credit risk model: application to the CDS market
Quantitative Finance
◽
10.1080/14697688.2016.1189590
◽
2016
◽
Vol 17
(2)
◽
pp. 299-313
◽
Cited By ~ 4
Author(s):
Luca Vincenzo Ballestra
◽
Graziella Pacelli
◽
Davide Radi
Keyword(s):
Credit Risk
◽
Survival Probability
◽
Risk Model
◽
Model Application
◽
Credit Risk Model
Download Full-text
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Cited By
References
Macro Stress Testing with a Macroeconomic Credit Risk Model: Application to the French Manufacturing Sector
SSRN Electronic Journal
◽
10.2139/ssrn.1666737
◽
2009
◽
Cited By ~ 20
Author(s):
Sanvi Avouyi-Dovi
◽
Bardos Mireille
◽
Caroline Jardet
◽
Ludovic Kendaoui
◽
Jeremy Moquet
Keyword(s):
Credit Risk
◽
Stress Testing
◽
Risk Model
◽
Manufacturing Sector
◽
Model Application
◽
Credit Risk Model
Download Full-text
A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information
The Journal of Risk Model Validation
◽
10.21314/jrmv.2016.156
◽
2016
◽
Author(s):
Tae Yeon Kwon
Keyword(s):
Credit Risk
◽
Bayesian Estimation
◽
Risk Model
◽
Credit Market
◽
Random Coefficients
◽
Market Information
◽
Credit Risk Model
Download Full-text
Modeling the Credit Risk in Agricultural Mortgages: A Critical Review of the Farm Credit Administration's Credit Risk Model for Farmer Mac
SSRN Electronic Journal
◽
10.2139/ssrn.553121
◽
2004
◽
Author(s):
Austin J. Kelly
Keyword(s):
Credit Risk
◽
Critical Review
◽
Risk Model
◽
Farm Credit
◽
Credit Risk Model
Download Full-text
Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices
Stochastic Models
◽
10.1080/15326340600878313
◽
2006
◽
Vol 22
(4)
◽
pp. 661-687
◽
Cited By ~ 4
Author(s):
Tomasz R. Bielecki
◽
Monique Jeanblanc
◽
Marek Rutkowski
Keyword(s):
Credit Risk
◽
Asset Prices
◽
Risk Model
◽
Contingent Claims
◽
Reduced Form
◽
Credit Risk Model
Download Full-text
The Implementation of a Rating-Risk Based Credit Risk Model
SSRN Electronic Journal
◽
10.2139/ssrn.392603
◽
2003
◽
Cited By ~ 1
Author(s):
Meng-Lan Yueh
◽
Nick Webber
Keyword(s):
Credit Risk
◽
Risk Model
◽
Credit Risk Model
Download Full-text
A HMM Intensity-Based Credit Risk Model and Filtering
State-Space Models
◽
10.1007/978-1-4614-7789-1_8
◽
2013
◽
pp. 169-184
◽
Cited By ~ 1
Author(s):
Robert J. Elliott
◽
Tak Kuen Siu
Keyword(s):
Credit Risk
◽
Risk Model
◽
Credit Risk Model
Download Full-text
The validity of credit risk model validation methods**The views expressed in this paper are those of the authors and should in no part be attributed to the Bank of Greece.
The Analytics of Risk Model Validation
◽
10.1016/b978-075068158-2.50006-8
◽
2008
◽
pp. 27-43
Author(s):
George Christodoulakis
◽
Stephen Satchel
Keyword(s):
Credit Risk
◽
Model Validation
◽
Risk Model
◽
Validation Methods
◽
Credit Risk Model
◽
Of Greece
Download Full-text
How accurate is the accuracy ratio in credit risk model validation?
The Journal of Risk Model Validation
◽
10.21314/jrmv.2020.229
◽
2020
◽
Author(s):
Marco Van der Burgt
Keyword(s):
Credit Risk
◽
Model Validation
◽
Risk Model
◽
Accuracy Ratio
◽
Credit Risk Model
Download Full-text
The generalized Vasicek credit risk model: A Machine Learning approach
Finance Research Letters
◽
10.1016/j.frl.2021.102669
◽
2022
◽
pp. 102669
Author(s):
Rubén García-Céspedes
◽
Manuel Moreno
Keyword(s):
Machine Learning
◽
Credit Risk
◽
Risk Model
◽
Learning Approach
◽
Machine Learning Approach
◽
Credit Risk Model
Download Full-text
A Comparative Assessment of Credit Risk Model Based on Machine Learning ——a case study of bank loan data
Procedia Computer Science
◽
10.1016/j.procs.2020.06.069
◽
2020
◽
Vol 174
◽
pp. 141-149
Author(s):
Yuelin Wang
◽
Yihan Zhang
◽
Yan Lu
◽
Xinran Yu
Keyword(s):
Machine Learning
◽
Credit Risk
◽
Risk Model
◽
Comparative Assessment
◽
Bank Loan
◽
Model Based
◽
Credit Risk Model
Download Full-text
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