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Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle
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Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle (2014)Bank Credit Risk Management and Rating Mi…Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields (2007)Regime Shifts in a Dynamic Te…Risk management and financial institutions (2006)Risk management and financial…Multi-period corporate default prediction with stochastic covariates (2006)Multi-period corporate defaul…A risk-factor model foundation for ratings-based bank capital rules (2003)A risk-factor model foundatio…Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)Ratings migration and the bus…Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Maximum Likelihood Estimation…Comparing Predictive Accuracy (2002)Comparing Predictive AccuracyAnalyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…Stability of rating transitions (2000)Stability of rating transitio…Credit risk rating systems at large US banks (2000)Credit risk rating systems at…Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insu…Stochastic Processes for Insurance & Finance (1999)Stochastic Processes for Insu…Portfolio Credit Risk (1998)Portfolio Credit RiskCredit risk measurement: Developments over the last 20 years (1997)Credit risk measurement: Deve…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyThe Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Alternative models for stock price dynamics (2003)How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise (2005)Brownian Motion and Stochastic Calculus (2007)Modeling financial contagion using mutually exciting jump processes (2015)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Bank Capital Regulation in Contemporary Banking Theory: A Review of the Literature (2001)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Safer ratios, riskier portfolios: Banks׳ response to government aid (2014)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)Financial Ratios and the Probabilistic Prediction of Bankruptcy (1980)Forecasting Default with the Merton Distance to Default Model (2008)Credit Spreads and Business Cycle Fluctuations (2012)Hazardous Times for Monetary Policy: What Do Twenty-Three Million Bank Loans Say About the Effects of Monetary Policy on Credit Risk-Taking? (2014)Basel Committee On Banking Supervision (2010)A critical review on supply chain risk – Definition, measure and modeling (2014)Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)On minimizing the ruin probability by investment and reinsurance (2002)On the optimal dividend problem for a spectrally negative Lévy process (2007)How rating agencies achieve rating stability (2004)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)Fitting Tweedie's Compound Poisson Model to Insurance Claims Data: Dispersion Modelling (2002)Quantifying Distributional Model Risk via Optimal Transport (2019)Does Anything Beat 5-Minute RV? A Comparison of Realized Measures Across Multiple Asset Classes (2012)Applications of deep learning in stock market prediction: Recent progress (2021)Machine learning in the Chinese stock market (2021)
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 2002Comparing Predictive Accuracy1,745 cited
  • 2006Multi-period corporate default prediction with stochastic covariates973 cited
  • 2002Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach902 cited
  • 2003A risk-factor model foundation for ratings-based bank capital rules869 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
  • 1997Credit risk measurement: Developments over the last 20 years806 cited
  • 2006Risk management and financial institutions781 cited
  • 1999Stochastic Processes for Insurance & Finance775 cited
  • 2000Stability of rating transitions562 cited
  • 2002Ratings migration and the business cycle, with application to credit portfolio stress testing509 cited
  • 1999Stochastic Processes for Insurance and Finance499 cited
  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
  • 1998Portfolio Credit Risk362 cited
  • 2000Credit risk rating systems at large US banks289 cited
  • 2007Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields

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