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A Comparison of Stochastic Default Rate Models · Study

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PreprintA Comparison of Stochastic Default Rate Models

Christopher C. Finger2000

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Preprintgreen2000

A Comparison of Stochastic Default Rate Models

Christopher C. Finger

39 citations·0/0 files stored·SSRN Electronic Journal

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Credit Risk and Financial Regulations Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1999Modeling Term Structures of Defaultable Bonds 2000On Default Correlation 2000A comparative anatomy of credit risk models 2001Risk and Valuation of Collateralized Debt Obligations 1998Portfolio Credit Risk 1999On Default Correlation: A Copula Function Approach 1999Reconcilable Differences 1955Sticks and Stones

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2005Discrete versus continuous state switching models for portfolio credit risk 2011Constant Proportion Debt Obligations: A Postmortem Analysis of Rating Models 2008Modelling the credit risk for portfolios of consumer loans: Analogies with corporate loan models

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Year2000

Typepreprint

Published2000-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations39

Files0 public / 0

ShelfCredit Risk and Financial Regulations

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doi10.2139/ssrn.240055

openalex_workW146835709

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