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Firm default probabilities revisited

In: Uses of central balance sheet data offices' information

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  • António Antunes
  • Homero Gonçalves
  • Pedro Prego

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Suggested Citation

  • António Antunes & Homero Gonçalves & Pedro Prego, 2017. "Firm default probabilities revisited," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Uses of central balance sheet data offices' information, volume 45, Bank for International Settlements.
    • Handle: RePEc:bis:bisifc:45-11
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    File URL: http://www.bis.org/ifc/publ/ifcb45i.pdf
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    References listed on IDEAS

    as
    1. Sauer, Stephan & Coppens, François & Mayer, Manuel & Millischer, Laurent & Resch, Florian & Schulze, Klaas, 2016. "Advances in multivariate back-testing for credit risk underestimation," Working Paper Series 1885, European Central Bank.
    2. Aussenegg, Wolfgang & Resch, Florian & Winkler, Gerhard, 2011. "Pitfalls and remedies in testing the calibration quality of rating systems," Journal of Banking & Finance, Elsevier, vol. 35(3), pages 698-708, March.
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