Statistical inference of default probability in credit risk models

被引:0
|
作者
Institute of Applied Mathematics and Center of Statistics, Academy of Mathematics and Systems Science, Chinese Acad. of Sci., Beijing 100190, China [1 ]
不详 [2 ]
机构
来源
Xitong Gongcheng Lilum yu Shijian | 2008年 / 8卷 / 206-214期
关键词
D O I
10.1016/s1874-8651(09)60036-3
中图分类号
学科分类号
摘要
引用
收藏
相关论文
共 50 条
  • [31] Default Probability Calculation Model Based on Credit Spread
    Cao, Yong
    Zhou, Libin
    Chi, Guotai
    2012 WORLD AUTOMATION CONGRESS (WAC), 2012,
  • [32] Credit default swaps and their application in the credit risk management
    Mikocziova, Jana
    RIZENI A MODELOVANI FINANCNICH RIZIK, 2008, : 148 - 153
  • [33] Counterparty credit risk and the credit default swap market
    Arora, Navneet
    Gandhi, Priyank
    Longstaff, Francis A.
    JOURNAL OF FINANCIAL ECONOMICS, 2012, 103 (02) : 280 - 293
  • [34] Credit Risk and IFRS: The Case of Credit Default Swaps
    Bhat, Gauri
    Callen, Jeffrey
    Segal, Dan
    JOURNAL OF ACCOUNTING AUDITING AND FINANCE, 2014, 29 (02): : 129 - 162
  • [35] Credit default swaps and systemic risk
    Rama Cont
    Andreea Minca
    Annals of Operations Research, 2016, 247 : 523 - 547
  • [36] Statistical Default Models and Incentives
    Rajan, Uday
    Seru, Amit
    Vig, Vikrant
    AMERICAN ECONOMIC REVIEW, 2010, 100 (02): : 506 - 510
  • [37] Business and default cycles for credit risk
    Koopman, SJ
    Lucas, A
    JOURNAL OF APPLIED ECONOMETRICS, 2005, 20 (02) : 311 - 323
  • [38] Risk management of Credit Default Swap
    Spuchlakova, Erika
    Misankova, Maria
    SELECTED PAPERS OF 5TH WORLD CONFERENCE ON BUSINESS, ECONOMICS AND MANAGEMENT (BEM-2016), 2017, : 229 - 234
  • [39] Credit default swaps and firm risk
    Lin, Hai
    Nguyen, Binh Hoang
    Wang, Junbo
    Zhang, Cheng
    JOURNAL OF FUTURES MARKETS, 2023, 43 (11) : 1668 - 1692
  • [40] Credit default swaps and systemic risk
    Cont, Rama
    Minca, Andreea
    ANNALS OF OPERATIONS RESEARCH, 2016, 247 (02) : 523 - 547