A Note on Fitting Markov Operator Credit Risk Models

2008 ◽  
Author(s):  
Harley Thompson ◽  
Jonathan Harris
Keyword(s):  
Credit Risk ◽  
Markov Operator ◽  
Risk Models

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

CFA Digest ◽  
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

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

2016 ◽  
Vol 12 (2) ◽  
pp. 1-45 ◽  
Author(s):  
Jimmy Skoglund ◽  
Wei Chen
Keyword(s):  
Credit Risk ◽  
Scenario Analysis ◽  
Stress Testing ◽  
Risk Models

Selection versus averaging of logistic credit risk models

2014 ◽  
Vol 16 (5) ◽  
pp. 39-52 ◽  
Author(s):  
Evelyn Hayden ◽  
Alex Stomper ◽  
Arne Westerkamp
Keyword(s):  
Credit Risk ◽  
Risk Models

Evaluating credit risk models using loss density forecasts

2003 ◽  
Vol 5 (4) ◽  
pp. 1-23 ◽  
Keyword(s):  
Credit Risk ◽  
Risk Models ◽  
Density Forecasts

Selection vs. Averaging of Logistic Credit Risk Models

2010 ◽  
Author(s):  
Evelyn Hayden ◽  
Alex Stomper ◽  
Arne Westerkamp
Keyword(s):  
Credit Risk ◽  
Risk Models

The Application of Credit Risk Models to Macroeconomic Regulatory Stress Testing

2015 ◽  
Author(s):  
Jimmy Skoglund ◽  
Wei Chen
Keyword(s):  
Credit Risk ◽  
Stress Testing ◽  
Risk Models
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