Add to ORKGWe survey both academic and proprietary models to examine how macroeconomic and systematic risk effects are incorporated into measures of credit risk exposure. Many models consider the correlation between the probability of default (PD) and cyclical factors. Few models adjust loss rates (loss given default) to reflect cyclical effects. We find that the possibility of systematic correlation between PD and LGD is also neglected in currently available models
Theoretical thesis."Department of Applied Finance and Actuarial Studies, Faculty of Business and Eco...
Using equity returns for financial institutions we estimate both catastrophic and operational risk m...
This paper examines one of the major problems in credit risk models widely used in the financial ind...
We survey both academic and proprietary models to examine how macroeconomic and systematic risk effe...
We survey both academic and proprietary models to examine how macroeconomic and systematic risk effe...
Procyclicality has emerged as a potential drawback to adoption of risk-sensitive bank capital requir...
We model 1927-1997 US business failure rates using an unobserved components time series model. Clear...
This paper analyzes the impact of various assumptions about the association between aggregate defaul...
We use an intensity-based framework to study the relation between macroeconomic fundamentals and cyc...
This thesis presents three studies on credit risk modelling. The first study compares the real defau...
In the aftermath of the recent financial crisis, the way credit risk is affected by and affects the...
There has been increasing support in the empirical literature that both the probability of default (...
Credit risk management is becoming more and more important in recent years. Credit risk refers to th...
Credit risk remains one of the major risks faced by most financial and credit institutions. It is de...
In this paper we investigate the impact of rapid credit growth on ex ante credit risk. We present mi...
Theoretical thesis."Department of Applied Finance and Actuarial Studies, Faculty of Business and Eco...
Using equity returns for financial institutions we estimate both catastrophic and operational risk m...
This paper examines one of the major problems in credit risk models widely used in the financial ind...
We survey both academic and proprietary models to examine how macroeconomic and systematic risk effe...
We survey both academic and proprietary models to examine how macroeconomic and systematic risk effe...
Procyclicality has emerged as a potential drawback to adoption of risk-sensitive bank capital requir...
We model 1927-1997 US business failure rates using an unobserved components time series model. Clear...
This paper analyzes the impact of various assumptions about the association between aggregate defaul...
We use an intensity-based framework to study the relation between macroeconomic fundamentals and cyc...
This thesis presents three studies on credit risk modelling. The first study compares the real defau...
In the aftermath of the recent financial crisis, the way credit risk is affected by and affects the...
There has been increasing support in the empirical literature that both the probability of default (...
Credit risk management is becoming more and more important in recent years. Credit risk refers to th...
Credit risk remains one of the major risks faced by most financial and credit institutions. It is de...
In this paper we investigate the impact of rapid credit growth on ex ante credit risk. We present mi...
Theoretical thesis."Department of Applied Finance and Actuarial Studies, Faculty of Business and Eco...
Using equity returns for financial institutions we estimate both catastrophic and operational risk m...
This paper examines one of the major problems in credit risk models widely used in the financial ind...