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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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

Download Full-text

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 ◽

Download Full-text

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

Download Full-text

Cost of Capital and Probability of Default in Value-Based Risk Management

SSRN Electronic Journal ◽

10.2139/ssrn.3533935 ◽

2020 ◽

Author(s):

Werner Gleißner

Keyword(s):

Risk Management ◽

Cost Of Capital ◽

Probability Of Default

Download Full-text

The Expected Recovery Rate and the Probability of Default on High Yield Debt

SSRN Electronic Journal ◽

10.2139/ssrn.997180 ◽

2008 ◽

Author(s):

John J. Binder

Keyword(s):

Recovery Rate ◽

Probability Of Default

Download Full-text