scholarly journals Capital Charges under Basel II: Corporate Credit Risk Modelling and the Macroeconomy

2002 ◽  
Author(s):  
Tor Jacobson ◽  
Kenneth Carling ◽  
Jesper Lindé ◽  
Kasper F. Roszbach
Keyword(s):  
Credit Risk ◽  
Basel Ii ◽  
Risk Modelling ◽  
Corporate Credit

scholarly journals Corporate Credit Risk Modelling in the Supervisory Stress Test of the Magyar Nemzeti Bank

2021 ◽  
Vol 20 (1) ◽  
pp. 43-73
Author(s):  
Gergő Horváth
Keyword(s):  
Credit Risk ◽  
Stress Test ◽  
Risk Modelling ◽  
Corporate Credit

Corporate Credit Risk Modelling and the Macroeconomy

2004 ◽  
Author(s):  
Tor Jacobson ◽  
Kenneth Carling ◽  
Jesper Lindé ◽  
Kasper F. Roszbach
Keyword(s):  
Credit Risk ◽  
Risk Modelling ◽  
Corporate Credit

Credit Risk Modelling Under Recessionary and Financial Distressed Conditions

2017 ◽  
Author(s):  
Yiannis Dendramis ◽  
Elias Tzavalis ◽  
Georgios Adraktas
Keyword(s):  
Credit Risk ◽  
Risk Modelling

Estimating Multi-Period Corporate Credit Risk - A Cash Flow Based Approach

2004 ◽  
Author(s):  
Hsien-Hsing Liao ◽  
Tsung-Kang Chen ◽  
Chia-Wu Lu
Keyword(s):  
Credit Risk ◽  
Cash Flow ◽  
Corporate Credit

Ratings-based credit risk modelling: An empirical analysis

2007 ◽  
Vol 16 (5) ◽  
pp. 434-451 ◽  
Author(s):  
Pamela Nickell ◽  
William Perraudin ◽  
Simone Varotto
Keyword(s):  
Credit Risk ◽  
Empirical Analysis ◽  
Risk Modelling

The Genesis of Credit-Risk Modelling

2018 ◽  
pp. 229-283
Author(s):  
David Jamieson Bolder
Keyword(s):  
Credit Risk ◽  
Risk Modelling

scholarly journals Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products

2008 ◽  
Vol 1 (2) ◽  
pp. 229-241 ◽  
Author(s):  
Tze Leung Lai ◽  
Samuel Po-Shing Wong
Keyword(s):  
Credit Risk ◽  
Statistical Models ◽  
Basel Ii ◽  
Retail Products

Credit Risk Modelling and Estimation via Elliptical Copulae

2003 ◽  
pp. 267-289 ◽  
Author(s):  
Rafael Schmidt
Keyword(s):  
Credit Risk ◽  
Risk Modelling
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