Computing a standard error for the Gini coefficient: an application to credit risk model validation

2013 ◽  
Vol 7 (1) ◽  
pp. 61-82 ◽  
Author(s):  
Marius-Cristian Frunza
Keyword(s):  
Credit Risk ◽  
Model Validation ◽  
Gini Coefficient ◽  
Standard Error ◽  
Risk Model ◽  
The Gini Coefficient ◽  
Credit Risk Model

Replication of Contingent Claims in a Reduced-Form Credit Risk Model with Discontinuous Asset Prices

2006 ◽  
Vol 22 (4) ◽  
pp. 661-687 ◽  
Author(s):  
Tomasz R. Bielecki ◽  
Monique Jeanblanc ◽  
Marek Rutkowski
Keyword(s):  
Credit Risk ◽  
Asset Prices ◽  
Risk Model ◽  
Contingent Claims ◽  
Reduced Form ◽  
Credit Risk Model

A HMM Intensity-Based Credit Risk Model and Filtering

2013 ◽  
pp. 169-184 ◽  
Author(s):  
Robert J. Elliott ◽  
Tak Kuen Siu
Keyword(s):  
Credit Risk ◽  
Risk Model ◽  
Credit Risk Model
Sign in / Sign up

Export Citation Format

Share Document