Checking Default Correlation and Score Correlation in a Breakpoint Model for Rating Classification: Supplements to “Estimation of rating classes and default probabilities in credit risk models with dependencies” [Appl. Stoch. Models Bus. Ind. 31 (2015), 762–781]
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DOI: 10.1515/eqc-2015-0006
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References listed on IDEAS
- Stefan Huschens & Konstantin Vogl & Robert Wania, 2005. "Estimation of Default Probabilities and Default Correlations," Springer Books, in: Michael Frenkel & Markus Rudolf & Ulrich Hommel (ed.), Risk Management, edition 0, pages 239-258, Springer.
- Astrid Dempfle & Winfried Stute, 2002. "Nonparametric estimation of a discontinuity in regression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 56(2), pages 233-242, May.
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Keywords
Default Correlation; Score Correlation; Split Point; Default Probability; Credit Risk Model; Rating Classification;All these keywords.
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