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An integrated multi-model credit rating system for private firms
16 references·1 citing·36 second hop
An integrated multi-model credit rating system for private firms (2006)An integrated multi-model credit rating s…Theory of rational option pricing (2005)Theory of rational option pri…Assessing the Probability of Bankruptcy (2004)Assessing the Probability of …An anatomy of rating through the cycle (2003)An anatomy of rating through …A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Analyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Term Structures of Credit Spr…Position Paper on the New Basel Capital Accord - Consultative Document from the Basel Committee on Banking Supervision (January 2001) (2001)Position Paper on the New Bas…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…Benchmarking Quantitative Default Risk Models: A Validation Methodology (2000)Benchmarking Quantitative Def…A comparative analysis of current credit risk models (2000)A comparative analysis of cur…Identifying failing companies: a re-evaluation of the logit, probit and DA approaches (1999)Identifying failing companies…Earnings management to avoid earnings decreases and losses (1997)Earnings management to avoid …Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Financial Ratios and the Prob…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)FINANCIAL RATIOS, DISCRIMINAN…Macro stress testing the U.S. banking system (2017)Macro stress testing the U.S.…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Financial Ratios As Predictors of Failure (1966)Conditional logit analysis of qualitative choice behavior (1972)The Effect of Audit Quality on Earnings Management* (1998)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Detecting Earnings Management. (1995)Earnings management and investor protection: an international comparison (2003)Earnings Management through Real Activities Manipulation (2003)The economic implications of corporate financial reporting (2005)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modern Portfolio Theory and Investment Analysis. (1982)Economic Forces and the Stock Market (1986)The Link between Default and Recovery Rates: Theory, Empirical Evidence, and Implications* (2005)Risk Assessment for Banking Systems (2006)Good and bad credit contagion: Evidence from credit default swaps☆ (2007)The Pricing of Options and Corporate Liabilities (1973)Structural Models of Corporate Bond Pricing: An Empirical Analysis (2004)Corporate bond liquidity before and after the onset of the subprime crisis (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Coherent Measures of Risk (1999)Conditional value-at-risk for general loss distributions (2002)On the coherence of expected shortfall (2002)Market discipline, disclosure and moral hazard in banking (2006)Common Failings: How Corporate Defaults Are Correlated (2007)Does Competition Reduce the Risk of Bank Failure? (2010)Methodological Issues Related to the Estimation of Financial Distress Prediction Models (1984)Modeling Term Structures of Defaultable Bonds (1999)In Search of Distress Risk (2008)Managerial incentives and risk-taking☆ (2005)How does financial reporting quality relate to investment efficiency? (2009)Option pricing: A simplified approach (1979)Multi-period corporate default prediction with stochastic covariates (2006)Forecasting Default with the Merton Distance to Default Model (2008)The impact of corporate social responsibility on the cost of bank loans (2010)
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References

  • 1968FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY14,869 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1980Financial Ratios and the Probabilistic Prediction of Bankruptcy6,005 cited
  • 1997Earnings management to avoid earnings decreases and losses3,839 cited
  • 2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
  • 2004Assessing the Probability of Bankruptcy1,357 cited
  • 2001Term Structures of Credit Spreads with Incomplete Accounting Information1,321 cited
  • 2000A comparative analysis of current credit risk models967 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
  • 1999Identifying failing companies: a re-evaluation of the logit, probit and DA approaches386 cited
  • 2001Position Paper on the New Basel Capital Accord - Consultative Document from the Basel Committee on Banking Supervision (January 2001)304 cited
  • 2003An anatomy of rating through the cycle227 cited
  • 2001Parameterizing credit risk models with rating data

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196 cited
  • 2000Benchmarking Quantitative Default Risk Models: A Validation Methodology167 cited
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    • 2017Macro stress testing the U.S. banking system23 cited