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Advancing Loss Given Default Prediction Models: How the Quiet Have Quickened
9 references·1 citing·44 second hop
Advancing Loss Given Default Prediction Models: How the Quiet Have Quickened (2005)Advancing Loss Given Default Prediction M…Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany and the UK (2005)Do Bankruptcy Codes Matter? A…The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates (2004)The Single Risk Factor Approa…Macroeconomics and Credit Risk: A Global Perspective (2003)Macroeconomics and Credit Ris…Informational Efficiency Of Loans Versus Bonds: Evidence From Secondary Market Prices (2003)Informational Efficiency Of L…Default and Recovery Rates of Corporate Bond Issuers: 2000 (2001)Default and Recovery Rates of…Benchmarking Quantitative Default Risk Models: A Validation Methodology (2000)Benchmarking Quantitative Def…Explaining the Pattern of Secured Credit (1997)Explaining the Pattern of Sec…Does the Bond Market Predict Bankruptcy Settlements? (1992)Does the Bond Market Predict …An Examination of the Stationarity of Multivariate Bankruptcy Prediction Models: A Methodological Study (1984)An Examination of the Station…Survival Analysis in LGD Modeling (2012)Survival Analysis in LGD Mode…An Introduction to Copulas (1999)A risk-factor model foundation for ratings-based bank capital rules (2003)Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (2013)Financial Intermediation and Delegated Monitoring (1984)Using daily stock returns (1985)Common risk factors in the returns on stocks and bonds (1993)Information, Credit Risk, Lender Specialization and Loan Pricing: Evidence from the DIP Financing Market (2008)Corporate Tax Avoidance and Bank Loan Contracting (2010)Reputational damage of operational loss on the bond market: Evidence from the financial industry (2012)On financial contracting (1979)Measuring security price performance (1980)The Market Value of Debt, Market versus Book Value of Debt, and Returns to Assets (1997)Pricing the risk of recovery in default with absolute priority rule violation (2003)The value of creditor control in corporate bonds (2016)FINANCIAL RATIOS, DISCRIMINANT ANALYSIS AND THE PREDICTION OF CORPORATE BANKRUPTCY (1968)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of rational option pricing (2005)Bankruptcy prediction by generalized additive models (2006)Measuring and Analyzing Sovereign Risk with Contingent Claims (2008)Forecasting Credit Portfolio Risk (2016)What Do We Know about Capital Structure? Some Evidence from International Data (1995)Law and Finance (1998)How Law and Institutions Shape Financial Contracts: The Case of Bank Loans (2005)Private credit in 129 countries☆ (2007)Capital structure decisions in family firms: empirical evidence from a bank-based economy (2011)The Sociology of Finance (2011)A Discriminant Analysis of Predictors of Business Failure (1972)BANKRUPTCY PREDICTION ‐ AN INVESTIGATION OF CASH FLOW BASED MODELS [1] (1988)Econometric Models and Economic Forecasts (1990)An empirical investigation of multinational firms' compliance with International Accounting Standards (1999)Twenty‐five years of the Taffler z‐score model: Does it really have predictive ability? (2007)Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004)What Do We Know About Loss Given Default? (2004)Modeling the Loss Distribution (2011)Local Government Efficiency: Evidence from the Czech Municipalities (2012)Macroeconomics and Reality (1980)An integrated multi-model credit rating system for private firms (2006)Global Business Cycles and Credit Risk (2007)Transitional credit modelling and its relationship to market value at risk: an Australian sectoral perspective (2009)On the Design of Efficient Priority Rules for Secured Creditors: Empirical Evidence from A Change in Law (2004)The Essential Structure of Property Law (2017)Asset Encumbrance and Bank Risk: Theory and First Evidence from Public Disclosures in Europe (2021)Credit risk measurement and procyclicality (2003)Modeling the effect of macroeconomic factors on corporate default and credit rating transitions (2011)
this work references cited by second hop

References

  • 1984An Examination of the Stationarity of Multivariate Bankruptcy Prediction Models: A Methodological Study248 cited
  • 2001Default and Recovery Rates of Corporate Bond Issuers: 2000228 cited
  • 2005Do Bankruptcy Codes Matter? A Study of Defaults in France, Germany and the UK185 cited
  • 2000Benchmarking Quantitative Default Risk Models: A Validation Methodology167 cited
  • 1997Explaining the Pattern of Secured Credit90 cited
  • 1992Does the Bond Market Predict Bankruptcy Settlements?57 cited
  • 2003Macroeconomics and Credit Risk: A Global Perspective49 cited
  • 2003Informational Efficiency Of Loans Versus Bonds: Evidence From Secondary Market Prices42 cited
  • 2004The Single Risk Factor Approach to Capital Charges in Case of Correlated Loss Given Default Rates33 cited

Cited by

  • 2012Survival Analysis in LGD Modeling28 cited

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