Estimating Long-Run PD, Asset Correlation, and Portfolio Level PD by Vasicek Models
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Cited by:
- Yang, Bill Huajian & Yang, Jenny & Yang, Haoji, 2020. "Modeling Portfolio Loss by Interval Distributions," MPRA Paper 102219, University Library of Munich, Germany.
- Yang, Bill Huajian & Wu, Biao & Cui, Kaijie & Du, Zunwei & Fei, Glenn, 2019. "IFRS9 Expected Credit Loss Estimation: Advanced Models for Estimating Portfolio Loss and Weighting Scenario Losses," MPRA Paper 93634, University Library of Munich, Germany.
- M. Dietsch & K. Düllmann & H. Fraisse & P. Koziol & C. Ott, 2016.
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More about this item
Keywords
Portfolio level PD; long-run PD; asset correlation; time series; serial correlation; bootstrapping; binomial distribution; maximum likelihood; least square regression; Vasicek model;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-07-21 (Econometrics)
- NEP-ORE-2014-07-21 (Operations Research)
- NEP-RMG-2014-07-21 (Risk Management)
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