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Capital Charges Under Basel Ii: Corporate Credit Risk Modelling and the Macroeconomy
16 references·1 citing·45 second hop
Capital Charges Under Basel Ii: Corporate Credit Risk Modelling and the Macroeconomy (2004)Capital Charges Under Basel Ii: Corporate…Parameterizing credit risk models with rating data (2001)Parameterizing credit risk mo…Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Forecasting Bankruptcy More A…Business failure of new firms: an empirical analysis using a multiplicative hazards model (2000)Business failure of new firms…A comparative anatomy of credit risk models (2000)A comparative anatomy of cred…The Swedish banking crisis: roots and consequences (1999)The Swedish banking crisis: r…CAPITAL REQUIREMENTS AND BANK BEHAVIOUR: THE IMPACT OF THE BASLE ACCORD (1999)CAPITAL REQUIREMENTS AND BANK…The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality? (1998)The Declining Credit Quality …Predicting U.S. Recessions: Financial Variables as Leading Indicators (1998)Predicting U.S. Recessions: F…Credit Risk in Private Debt Portfolios (1998)Credit Risk in Private Debt P…Credit risk measurement: Developments over the last 20 years (1997)Credit risk measurement: Deve…The Term Structure as a Predictor of Real Economic Activity (1991)The Term Structure as a Predi…A note on the use of industry-relative ratios in bankruptcy prediction (1991)A note on the use of industry…Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress (1985)Introducing Recursive Partiti…The success of business failure prediction models (1984)The success of business failu…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)ON THE PRICING OF CORPORATE D…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle (2014)Bank Credit Risk Management a…Financial Ratios As Predictors of Failure (1966)ZETATM analysis A new model to identify bankruptcy risk of corporations (1977)An application of the cox proportional hazards model to bank failure (1986)A survey of business failures with an emphasis on prediction methods and industrial applications (1996)Predicting corporate financial distress: Reflections on choice-based sample bias (2002)Limited-dependent and qualitative variables in econometrics (1983)Risk Management: Coordinating Corporate Investment and Financing Policies (1993)The Econometrics of Financial Markets (1997)Measuring Abnormal Bond Performance (2008)How did increased competition affect credit ratings? (2011)Corporate Social Responsibility and Credit Ratings (2013)Financial Intermediation, Loanable Funds, and The Real Sector (1997)Financial Liberalization and Financial Fragility (1999)What caused the Asian currency and financial crisis? (1999)Finance for Growth (2001)The Subprime Panic* (2008)How to Deal with Real Estate Booms: Lessons from Country Experiences (2011)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)The valuation of options for alternative stochastic processes (1976)An equilibrium characterization of the term structure (1977)Econometric policy evaluation: A critique (1976)The theory and practice of econometrics (1986)The Information in Long-Maturity Forward Rates (1987)A no-arbitrage vector autoregression of term structure dynamics with macroeconomic and latent variables (2003)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Credit Spreads and Business Cycle Fluctuations (2012)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)New Indexes of Coincident and Leading Economic Indicators (1989)The macroeconomy and the yield curve: a dynamic latent factor approach (2005)What does the yield curve tell us about GDP growth? (2005)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Modeling Term Structures of Defaultable Bonds (1999)Forecasting Default with the Merton Distance to Default Model (2008)In Search of Distress Risk (2008)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)
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References

  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*10,779 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 1991The Term Structure as a Predictor of Real Economic Activity1,739 cited
  • 1998Predicting U.S. Recessions: Financial Variables as Leading Indicators1,180 cited
  • 1997Credit risk measurement: Developments over the last 20 years806 cited
  • 1985Introducing Recursive Partitioning for Financial Classification: The Case of Financial Distress748 cited
  • 1998The Declining Credit Quality of U.S. Corporate Debt: Myth or Reality?741 cited
  • 2000A comparative anatomy of credit risk models719 cited
  • 1999The Swedish banking crisis: roots and consequences301 cited
  • 1984The success of business failure prediction models278 cited
  • 1999CAPITAL REQUIREMENTS AND BANK BEHAVIOUR: THE IMPACT OF THE BASLE ACCORD255 cited
  • 1998Credit Risk in Private Debt Portfolios247 cited
  • 2000Business failure of new firms: an empirical analysis using a multiplicative hazards model219 cited
  • 1991A note on the use of industry-relative ratios in bankruptcy prediction

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196 cited
  • 2001Parameterizing credit risk models with rating data196 cited
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    • 2014Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle24 cited