Advances in multivariate back-testing for credit risk underestimation
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References listed on IDEAS
- Jankowitsch, Rainer & Pichler, Stefan & Schwaiger, Walter S.A., 2007. "Modelling the economic value of credit rating systems," Journal of Banking & Finance, Elsevier, vol. 31(1), pages 181-198, January.
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Cited by:
- Patrick Kurth & Max Nendel & Jan Streicher, 2023. "A hypothesis test for the long-term calibration in rating systems with overlapping time windows," Papers 2312.14765, arXiv.org.
- 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.
- António R. Antunes & Pedro Prego & Homero Gonçalves, 2016. "Firm default probabilities revisited," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
- Dainelli, Francesco & Bet, Gianmarco & Fabrizi, Eugenio, 2024.
"The financial health of a company and the risk of its default: Back to the future,"
International Review of Financial Analysis, Elsevier, vol. 95(PB).
- Gianmarco Bet & Francesco Dainelli & Eugenio Fabrizi, 2023. "The financial health of a company and the risk of its default: Back to the future," Papers 2302.10140, arXiv.org.
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More about this item
Keywords
back-testing; credit ratings; one-sided; probability of default;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
- G24 - Financial Economics - - Financial Institutions and Services - - - Investment Banking; Venture Capital; Brokerage
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2016-03-17 (Econometrics)
- NEP-RMG-2016-03-17 (Risk Management)
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