Modeling the credit contagion channel and its consequences via the standard portfolio credit risk model

The Journal of Credit Risk ◽

10.21314/jcr.2014.172 ◽

2014 ◽

Vol 10 (1) ◽

pp. 33-62 ◽

Author(s):

Yongwoong Lee ◽

Ser-Huang Poon

Keyword(s):

Credit Risk ◽

Portfolio Credit Risk ◽

Credit Contagion ◽

Credit Risk Model

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An Analytical Portfolio Credit Risk Model Based on the Extended Binomial Distribution

Journal of Financial Risk Management ◽

10.4236/jfrm.2019.83012 ◽

2019 ◽

Vol 08 (03) ◽

pp. 177-191

Author(s):

Sven Fischer

Keyword(s):

Credit Risk ◽

Binomial Distribution ◽

Portfolio Credit Risk ◽

Model Based ◽

Credit Risk Model

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Portfolio credit risk model with extremal dependence of defaults and random recovery

The Journal of Credit Risk ◽

10.21314/jcr.2017.222 ◽

2017 ◽

Vol 13 (2) ◽

pp. 1-31 ◽

Author(s):

Jong June Jeon ◽

Sunggon Kim ◽

Yonghee Lee

Keyword(s):

Credit Risk ◽

Portfolio Credit Risk ◽

Extremal Dependence ◽

Credit Risk Model

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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 ◽

Credit Market ◽

Random Coefficients ◽

Market Information ◽

Credit Risk Model

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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 ◽

Farm Credit ◽

Credit Risk Model

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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 ◽

Author(s):

Tomasz R. Bielecki ◽

Monique Jeanblanc ◽

Marek Rutkowski

Keyword(s):

Credit Risk ◽

Asset Prices ◽

Contingent Claims ◽

Reduced Form ◽

Credit Risk Model

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The Implementation of a Rating-Risk Based Credit Risk Model

SSRN Electronic Journal ◽

10.2139/ssrn.392603 ◽

2003 ◽

Author(s):

Meng-Lan Yueh ◽

Nick Webber

Keyword(s):

Credit Risk ◽

Credit Risk Model

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A HMM Intensity-Based Credit Risk Model and Filtering

State-Space Models ◽

10.1007/978-1-4614-7789-1_8 ◽

2013 ◽

pp. 169-184 ◽

Author(s):

Robert J. Elliott ◽

Tak Kuen Siu

Keyword(s):

Credit Risk ◽

Credit Risk Model

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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 ◽

Validation Methods ◽

Credit Risk Model ◽

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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 ◽

Accuracy Ratio ◽

Credit Risk Model

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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 ◽

Learning Approach ◽

Machine Learning Approach ◽

Credit Risk Model

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