„default dependence“
Suchergebnisse
16 Treffer
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Generalized Modeling and Estimation of Rating Classes and Default Probabilities Considering Dependencies in Cross and Longitudinal Section
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Estimation in discontinuous Bernoulli mixture models applicable in credit rating systems with dependent data
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High Dimensional Financial Engineering: Dependence Modeling and Sequential Surveillance
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Four essays on linear and extreme dependences in credit derivatives and equity markets
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Is tail risk priced in credit default swap premia?
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Modeling default dependence with threshold models
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Partial dependence analysis of financial ratios in predicting company defaults: random forest vs XGBoost models
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Generalized modeling and estimation of rating classes and default probabilities considering dependencies in cross and longitudinal section
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Spatial Dependence in Subprime Mortgage Defaults
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Modeling default dependence with threshold models
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The sovereign Credit Default Swap Spreads and Chinese Sectors Stock Market: A Causality in Quantile and Dependence Analysis
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Estimation in discontinuous Bernoulli mixture models applicable in credit rating systems with dependent data
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Dependence structures of credit default swaps to common factors and underlying assets
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Modeling stochastic recovery rates and dependence between default rates and recovery rates within a generalized credit portfolio framework
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Corporate diversification and dependence – valuation of multi-business firms and basket default swaps
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Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Case of Greek Banks