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Frailty Correlated Default

Citations

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Cited by:

  1. Xiao,Tim, 2018. "Pricing Financial Derivatives Subject to Multilateral Credit Risk and Collateralization," EconStor Preprints 202075, ZBW - Leibniz Information Centre for Economics.
  2. Pascal Kundig & Fabio Sigrist, 2024. "A Spatio-Temporal Machine Learning Model for Mortgage Credit Risk: Default Probabilities and Loan Portfolios," Papers 2410.02846, arXiv.org.
  3. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
  4. Jennie Bai & Pierre Collin-Dufresne & Robert S. Goldstein & Jean Helwege, 2012. "On bounding credit event risk premia," Staff Reports 577, Federal Reserve Bank of New York.
  5. Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
  6. Kramer, Anke & Kiesel, Rüdiger, 2021. "Exogenous factors for order arrivals on the intraday electricity market," Energy Economics, Elsevier, vol. 97(C).
  7. Chen, Peimin & Wu, Chunchi, 2014. "Default prediction with dynamic sectoral and macroeconomic frailties," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 211-226.
  8. Nazemi, Abdolreza & Fatemi Pour, Farnoosh & Heidenreich, Konstantin & Fabozzi, Frank J., 2017. "Fuzzy decision fusion approach for loss-given-default modeling," European Journal of Operational Research, Elsevier, vol. 262(2), pages 780-791.
  9. Kwon, Hyuck-Shin & Bang, Doo Won & Kim, Myeong Hyeon, 2017. "Korean Housing Cycle: Implications for Risk Management (Factor-augmented VAR Approach)," KDI Journal of Economic Policy, Korea Development Institute (KDI), vol. 39(3), pages 43-62.
  10. Bernd Schwaab & Siem Jan Koopman & André Lucas, 2017. "Global Credit Risk: World, Country and Industry Factors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(2), pages 296-317, March.
  11. Ha Nguyen, 2023. "Particle MCMC in forecasting frailty correlated default models with expert opinion," Papers 2304.11586, arXiv.org, revised Aug 2023.
  12. White, Alan, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," MPRA Paper 85331, University Library of Munich, Germany.
  13. François Gourio, 2013. "Credit Risk and Disaster Risk," American Economic Journal: Macroeconomics, American Economic Association, vol. 5(3), pages 1-34, July.
  14. Calabrese, Raffaella, 2023. "Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data," European Journal of Operational Research, Elsevier, vol. 305(2), pages 989-997.
  15. Lee, Yongwoong & Poon, Ser-Huang, 2014. "Forecasting and decomposition of portfolio credit risk using macroeconomic and frailty factors," Journal of Economic Dynamics and Control, Elsevier, vol. 41(C), pages 69-92.
  16. Drew Creal & Bernd Schwaab & Siem Jan Koopman & Andr� Lucas, 2014. "Observation-Driven Mixed-Measurement Dynamic Factor Models with an Application to Credit Risk," The Review of Economics and Statistics, MIT Press, vol. 96(5), pages 898-915, December.
  17. Xing, Kai & Yang, Xiaoguang, 2020. "Predicting default rates by capturing critical transitions in the macroeconomic system," Finance Research Letters, Elsevier, vol. 32(C).
  18. Sim, Jaehun & Kim, Chae-Soo, 2019. "The value of renewable energy research and development investments with default consideration," Renewable Energy, Elsevier, vol. 143(C), pages 530-539.
  19. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2036-2049, November.
  20. Bethke, Sebastian & Kempf, Alexander & Trapp, Monika, 2014. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.], University of Cologne, Centre for Financial Research (CFR).
  21. S. Heise & R. Kühn, 2012. "Derivatives and credit contagion in interconnected networks," The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 85(4), pages 1-19, April.
  22. Raisul Islam & Vladimir Volkov, 2022. "Contagion or interdependence? Comparing spillover indices," Empirical Economics, Springer, vol. 63(3), pages 1403-1455, September.
  23. Razin, Ronny & Levy, Gilat, 2020. "Combining forecasts in the presence of ambiguity over correlation structures," LSE Research Online Documents on Economics 104641, London School of Economics and Political Science, LSE Library.
  24. Patrick Gagliardini & Christian Gouriéroux, 2011. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 237-280, Spring.
  25. Xiao, Tim, 2018. "The Valuation of Credit Default Swap with Counterparty Risk and Collateralization," EconStor Preprints 203447, ZBW - Leibniz Information Centre for Economics.
  26. Caballero, Diego & Lucas, André & Schwaab, Bernd & Zhang, Xin, 2020. "Risk endogeneity at the lender/investor-of-last-resort," Journal of Monetary Economics, Elsevier, vol. 116(C), pages 283-297.
  27. Pablo Jose Campos de Carvalho & Aparna Gupta, 2018. "Multivariate Jump Diffusion Model with Markovian Contagion," Working Papers Series 482, Central Bank of Brazil, Research Department.
  28. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
  29. Betz, Jennifer & Kellner, Ralf & Rösch, Daniel, 2018. "Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation," European Journal of Operational Research, Elsevier, vol. 271(3), pages 1113-1144.
  30. Ruediger Frey & Lars Roesler & Dan Lu, 2017. "Corporate Security Prices in Structural Credit Risk Models with Incomplete Information: Extended Version," Papers 1701.04780, arXiv.org, revised May 2017.
  31. Spatareanu, Mariana & Manole, Vlad & Kabiri, Ali & Roland, Isabelle, 2023. "Bank default risk propagation along supply chains: evidence from the U.K," LSE Research Online Documents on Economics 117351, London School of Economics and Political Science, LSE Library.
  32. Dong Hwan Oh & Andrew J. Patton, 2017. "Modeling Dependence in High Dimensions With Factor Copulas," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 139-154, January.
  33. KiHoon Jimmy Hong & Eliza Wu, 2014. "Can Momentum Factors Be Used to Enhance Accounting Information based Fundamental Analysis in Explaining Stock Price Movements?," Research Paper Series 346, Quantitative Finance Research Centre, University of Technology, Sydney.
  34. Kinateder, Harald & Wagner, Niklas, 2017. "Quantitative easing and the pricing of EMU sovereign debt," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 1-12.
  35. De Santis, Roberto A., 2016. "Credit spreads, economic activity and fragmentation," Working Paper Series 1930, European Central Bank.
  36. Sarah Brown & Pulak Ghosh & Karl Taylor, 2016. "Household Finances and Social Interaction: Bayesian Analysis of Household Panel Data," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 62(3), pages 467-488, September.
  37. Deng, Yongheng & Gabriel, Stuart A. & Sanders, Anthony B., 2011. "CDO market implosion and the pricing of subprime mortgage-backed securities," Journal of Housing Economics, Elsevier, vol. 20(2), pages 68-80, June.
  38. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
  39. Christian Koziol & Philipp Koziol & Thomas Schön, 2015. "Do correlated defaults matter for CDS premia? An empirical analysis," Review of Derivatives Research, Springer, vol. 18(3), pages 191-224, October.
  40. Javadi, Siamak & Mollagholamali, Mohsen, 2018. "Debt market illiquidity and correlated default risk," Finance Research Letters, Elsevier, vol. 26(C), pages 266-273.
  41. Wenlang Zhang & Gaofeng Han & Steven Chan, 2014. "How Strong are the Linkages between Real Estate and Other Sectors in China?," Working Papers 112014, Hong Kong Institute for Monetary Research.
  42. Gagliardini, Patrick & Gourieroux, Christian, 2014. "Efficiency In Large Dynamic Panel Models With Common Factors," Econometric Theory, Cambridge University Press, vol. 30(5), pages 961-1020, October.
  43. Gagliardini, Patrick & Gouriéroux, Christian, 2013. "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2241-2269.
  44. Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014. "Pricing default events: Surprise, exogeneity and contagion," Journal of Econometrics, Elsevier, vol. 182(2), pages 397-411.
  45. Anand Deo & Sandeep Juneja, 2021. "Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator," Operations Research, INFORMS, vol. 69(2), pages 361-379, March.
  46. Zhang, Xuan & Zhao, Yang & Yao, Xiao, 2022. "Forecasting corporate default risk in China," International Journal of Forecasting, Elsevier, vol. 38(3), pages 1054-1070.
  47. Zhiguo He & Wei Xiong, 2012. "Rollover Risk and Credit Risk," Journal of Finance, American Finance Association, vol. 67(2), pages 391-430, April.
  48. Xiao, Tim, 2013. "The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling," MPRA Paper 47136, University Library of Munich, Germany.
  49. Christis Katsouris, 2023. "Quantile Time Series Regression Models Revisited," Papers 2308.06617, arXiv.org, revised Aug 2023.
  50. Senay Agca & Volodymyr Babich & John R. Birge & Jing Wu, 2022. "Credit Shock Propagation Along Supply Chains: Evidence from the CDS Market," Management Science, INFORMS, vol. 68(9), pages 6506-6538, September.
  51. Lando, David & Nielsen, Mads Stenbo, 2010. "Correlation in corporate defaults: Contagion or conditional independence?," Journal of Financial Intermediation, Elsevier, vol. 19(3), pages 355-372, July.
  52. Miroslav Plasil & Tomas Konecny & Jakub Seidler & Petr Hlavac, 2015. "In the Quest of Measuring the Financial Cycle," Working Papers 2015/05, Czech National Bank.
  53. Schweikert, Jochen & Höchstötter, Markus, 2018. "Epidemiological spreading of mortgage default," Working Paper Series in Economics 112, Karlsruhe Institute of Technology (KIT), Department of Economics and Management.
  54. Raffaella Calabrese & Galina Andreeva & Jake Ansell, 2019. "“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults," Risk Analysis, John Wiley & Sons, vol. 39(1), pages 71-84, January.
  55. Andrew Carverhill & Dan Luo, 2020. "Pricing and integration of credit default swap index tranches," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(4), pages 503-526, April.
  56. Antje Berndt & Rohan Douglas & Darrell Duffie & Mark Ferguson, 2018. "Corporate Credit Risk Premia [Fallen angels and price pressure]," Review of Finance, European Finance Association, vol. 22(2), pages 419-454.
  57. Gourieroux, Christian & Lu, Yang, 2015. "Love and death: A Freund model with frailty," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 191-203.
  58. Christian Gourieroux & Yang Lu, 2013. "Long Term Care and Longevity," Working Papers 2013-16, Center for Research in Economics and Statistics.
  59. Siem Jan Koopman & Andre Lucas & Bernd Schwaab, 2010. "Macro, Industry and Frailty Effects in Defaults: The 2008 Credit Crisis in Perspective," Tinbergen Institute Discussion Papers 10-004/2, Tinbergen Institute, revised 24 Aug 2010.
  60. Xuyuan Liu & Weimin Miao, 2016. "Default Econometrics and Default Application," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-9.
  61. Malamud, Semyon & Rui, Huaxia & Whinston, Andrew, 2013. "Optimal incentives and securitization of defaultable assets," Journal of Financial Economics, Elsevier, vol. 107(1), pages 111-135.
  62. Pourkhanali, Armin & Kim, Jong-Min & Tafakori, Laleh & Fard, Farzad Alavi, 2016. "Measuring systemic risk using vine-copula," Economic Modelling, Elsevier, vol. 53(C), pages 63-74.
  63. Voß, Sebastian & Weißbach, Rafael, 2014. "A score-test on measurement errors in rating transition times," Journal of Econometrics, Elsevier, vol. 180(1), pages 16-29.
  64. Rosenthal, Dale W.R., 2008. "Approximating correlated defaults," MPRA Paper 36788, University Library of Munich, Germany, revised 15 Feb 2012.
  65. RMI staff article, 2016. "NUS-RMI Credit Research Initiative Technical Report Version: 2016 Update 1," Global Credit Review (GCR), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 49-132.
  66. Carlos Perez Montes, 2015. "Estimation of Regulatory Credit Risk Models," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(2), pages 161-191, October.
  67. Lei, Jin & Qiu, Jiaping & Wan, Chi & Yu, Fan, 2021. "Credit risk spillovers and cash holdings," Journal of Corporate Finance, Elsevier, vol. 68(C).
  68. Sigrist, Fabio & Leuenberger, Nicola, 2023. "Machine learning for corporate default risk: Multi-period prediction, frailty correlation, loan portfolios, and tail probabilities," European Journal of Operational Research, Elsevier, vol. 305(3), pages 1390-1406.
  69. Lee, Yongwoong & Yang, Kisung, 2019. "Modeling diversification and spillovers of loan portfolios' losses by LHP approximation and copula," International Review of Financial Analysis, Elsevier, vol. 66(C).
  70. Jens Hilscher & Mungo Wilson, 2017. "Credit Ratings and Credit Risk: Is One Measure Enough?," Management Science, INFORMS, vol. 63(10), pages 3414-3437, October.
  71. Jose Giancarlo Gasha & Mr. Andre O Santos & Mr. Jorge A Chan-Lau & Mr. Carlos I. Medeiros & Mr. Marcos R Souto & Christian Capuano, 2009. "Recent Advances in Credit Risk Modeling," IMF Working Papers 2009/162, International Monetary Fund.
  72. Alan White, 2018. "Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization," Papers 1803.07843, arXiv.org.
  73. Doo Won Bang & HyuckShin Kwon, 2022. "Policy Impact Analysis of Housing Policies Using Housing Cycles," SAGE Open, , vol. 12(3), pages 21582440221, July.
  74. Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2012. "Modeling default correlation in a US retail loan portfolio," CEPR Discussion Papers 9205, C.E.P.R. Discussion Papers.
  75. Xing, Haipeng & Sun, Ning & Chen, Ying, 2012. "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 78-89.
  76. Pedro H. C. Sant’Anna, 2017. "Testing for Uncorrelated Residuals in Dynamic Count Models With an Application to Corporate Bankruptcy," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 349-358, July.
  77. Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023. "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, vol. 147(C).
  78. Yao, Xiao & Crook, Jonathan & Andreeva, Galina, 2017. "Is it obligor or instrument that explains recovery rate: Evidence from US corporate bond," Journal of Financial Stability, Elsevier, vol. 28(C), pages 1-15.
  79. Xing, Kai & Luo, Dan & Liu, Lanlan, 2023. "Macroeconomic conditions, corporate default, and default clustering," Economic Modelling, Elsevier, vol. 118(C).
  80. Qi, Min & Zhang, Xiaofei & Zhao, Xinlei, 2014. "Unobserved systematic risk factor and default prediction," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 216-227.
  81. Anisa Caja & Quentin Guibert & Frédéric Planchet, 2015. "Influence of Economic Factors on the Credit Rating Transitions and Defaults of Credit Insurance Business," Working Papers hal-01178812, HAL.
  82. Guangwu Liu, 2015. "Simulating Risk Contributions of Credit Portfolios," Operations Research, INFORMS, vol. 63(1), pages 104-121, February.
  83. Wan-Chien Chiu & Juan Ignacio Pe~na & Chih-Wei Wang, 2022. "Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects," Papers 2202.02276, arXiv.org.
  84. Cathy Chen & Wolfgang Härdle, 2015. "Common factors in credit defaults swap markets," Computational Statistics, Springer, vol. 30(3), pages 845-863, September.
  85. Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
  86. Peimin Chen & Igor Kozhanov & Peng Liu & Chunchi Wu, 2021. "Commercial Mortgage‐Backed Security Pricing with Real Estate Liquidity Risk," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 49(S2), pages 490-525, September.
  87. Cogneau, Philippe & Hübner, Georges, 2015. "The prediction of fund failure through performance diagnostics," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 224-241.
  88. Siem Jan Koopman & André Lucas & Bernd Schwaab, 2012. "Dynamic Factor Models With Macro, Frailty, and Industry Effects for U.S. Default Counts: The Credit Crisis of 2008," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 521-532, May.
  89. Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
  90. Liu, Wei & Kolari, James W. & Kyle Tippens, T. & Fraser, Donald R., 2013. "Did capital infusions enhance bank recovery from the great recession?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5048-5061.
  91. Kay Giesecke & Baeho Kim, 2011. "Systemic Risk: What Defaults Are Telling Us," Management Science, INFORMS, vol. 57(8), pages 1387-1405, August.
  92. Xiu Xu & Cathy Yi-Hsuan Chen & Wolfgang Karl Härdle, 2019. "Dynamic credit default swap curves in a network topology," Quantitative Finance, Taylor & Francis Journals, vol. 19(10), pages 1705-1726, October.
  93. Gençay, Ramazan & Signori, Daniele & Xue, Yi & Yu, Xiao & Zhang, Keyi, 2015. "Economic links and credit spreads," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 157-169.
  94. repec:hum:wpaper:sfb649dp2016-059 is not listed on IDEAS
  95. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2014. "Investor sentiment, flight-to-quality, and corporate bond comovement," CFR Working Papers 13-06 [rev.2], University of Cologne, Centre for Financial Research (CFR).
  96. Peleg Lazar, Sharon & Raviv, Alon, 2019. "The risk spiral: The effects of bank capital and diversification on risk taking," International Review of Financial Analysis, Elsevier, vol. 65(C).
  97. Ali Kabiri & Vlad Malone & Isabelle Roland & Mariana Spatareanu, 2020. "Bank default risk propagation along supply chains: evidence from the UK," CEP Discussion Papers dp1699, Centre for Economic Performance, LSE.
  98. Wu, Deming & Fang, Ming & Wang, Qing, 2018. "An empirical study of bank stress testing for auto loans," Journal of Financial Stability, Elsevier, vol. 39(C), pages 79-89.
  99. Bosma, Jakob & Koetter, Michael & Wedow, Michael, 2012. "Credit risk connectivity in the financial industry and stabilization effects of government bailouts," Discussion Papers 16/2012, Deutsche Bundesbank.
  100. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
  101. Kau, James B. & Keenan, Donald C. & Lyubimov, Constantine & Carlos Slawson, V., 2011. "Subprime mortgage default," Journal of Urban Economics, Elsevier, vol. 70(2), pages 75-87.
  102. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.
  103. Maarten van Oordt, 2017. "Credit Risk Transfer and Bank Insolvency Risk," Staff Working Papers 17-59, Bank of Canada.
  104. Haipeng Xing & Yang Yu, 2018. "Firm’s Credit Risk in the Presence of Market Structural Breaks," Risks, MDPI, vol. 6(4), pages 1-16, December.
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  106. Sarah Brown & Pulak Ghosh & Karl Taylor, 2012. "The Existence and Persistence of Household Financial Hardship," Working Papers 2012022, The University of Sheffield, Department of Economics.
  107. James Wolter, 2013. "Separating the impact of macroeconomic variables and global frailty in event data," Economics Series Working Papers 667, University of Oxford, Department of Economics.
  108. Ben Hambly & Andreas Sojmark, 2018. "An SPDE Model for Systemic Risk with Endogenous Contagion," Papers 1801.10088, arXiv.org, revised Sep 2018.
  109. Bethke, Sebastian & Gehde-Trapp, Monika & Kempf, Alexander, 2017. "Investor sentiment, flight-to-quality, and corporate bond comovement," Journal of Banking & Finance, Elsevier, vol. 82(C), pages 112-132.
  110. Anna Dubinova & Andre Lucas & Sean Telg, 2021. "COVID-19, Credit Risk and Macro Fundamentals," Tinbergen Institute Discussion Papers 21-059/III, Tinbergen Institute.
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  117. Wolff, Christian & Bams, Dennis & Pisa, Magdalena, 2015. "Ripple effects from industry defaults," CEPR Discussion Papers 10891, C.E.P.R. Discussion Papers.
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  123. Siakoulis, Vasilios, 2015. "Modeling bank default intensity in the USA using autoregressive duration models," MPRA Paper 64526, University Library of Munich, Germany.
  124. Santis, Roberto A. De, 2018. "Unobservable systematic risk, economic activity and stock market," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 51-69.
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  130. Pérez Montes, Carlos & Trucharte Artigas, Carlos & Cristófoli, María Elizabeth & Lavín San Segundo, Nadia, 2018. "The impact of the IRB approach on the risk weights of European banks," Journal of Financial Stability, Elsevier, vol. 39(C), pages 147-166.
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  132. István Barra & Lennart Hoogerheide & Siem Jan Koopman & André Lucas, 2017. "Joint Bayesian Analysis of Parameters and States in Nonlinear non‐Gaussian State Space Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(5), pages 1003-1026, August.
  133. Dan Luo & Dragon Yongjun Tang & Sarah Qian Wang, 2018. "Model specification and collateralized debt obligation (mis)pricing," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1284-1312, November.
  134. Cui, Wei & Kaas, Leo, 2021. "Default cycles," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 377-394.
  135. Wolter, Marcus & Rösch, Daniel, 2014. "Cure events in default prediction," European Journal of Operational Research, Elsevier, vol. 238(3), pages 846-857.
  136. Carlos Pérez Montes, 2013. "Estimation of Regulatory Credit Risk Models," Working Papers 1305, Banco de España.
  137. Ruey-Ching Hwang & Huimin Chung & Jiun-Yi Ku, 2013. "Predicting Recurrent Financial Distresses with Autocorrelation Structure: An Empirical Analysis from an Emerging Market," Journal of Financial Services Research, Springer;Western Finance Association, vol. 43(3), pages 321-341, June.
  138. Duan, Jin-Chuan & Sun, Jie & Wang, Tao, 2012. "Multiperiod corporate default prediction—A forward intensity approach," Journal of Econometrics, Elsevier, vol. 170(1), pages 191-209.
  139. Angelos Dassios & Hongbiao Zhao, 2017. "Efficient Simulation of Clustering Jumps with CIR Intensity," Operations Research, INFORMS, vol. 65(6), pages 1494-1515, December.
  140. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
  141. Roy Cerqueti & Francesca Pampurini & Annagiulia Pezzola & Anna Grazia Quaranta, 2022. "Dangerous liasons and hot customers for banks," Review of Quantitative Finance and Accounting, Springer, vol. 59(1), pages 65-89, July.
  142. Feng Jianfen & Chen Dianfa & Yu Mei, 2014. "Pricing Defaultable Securities under Actual Probability Measure," Journal of Systems Science and Information, De Gruyter, vol. 2(4), pages 313-334, August.
  143. Lee, Yongwoong & Rösch, Daniel & Scheule, Harald, 2021. "Systematic credit risk in securitised mortgage portfolios," Journal of Banking & Finance, Elsevier, vol. 122(C).
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