Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Retail credit stress testing using a discrete hazard model with macroeconomic factors

11 references·7 citing·50 second hop

FromToDepth

this work references cited by second hop

References

2001Forecasting Bankruptcy More Accurately: A Simple Hazard Model2,655 cited
2000A Guide to Modern Econometrics1,762 cited
2011Quantitative Risk Management985 cited
2002An Empirical Analysis of Personal Bankruptcy and Delinquency540 cited
2008Credit scoring with macroeconomic variables using survival analysis232 cited
2000A coherent framework for stress testing114 cited
2008Modelling the distribution of credit losses with observable and latent factors94 cited
2008Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System69 cited
2003Correlations and business cycles of credit risk: Evidence from bankruptcies in Germany58 cited
2009Backtesting value-at-risk based on tail losses56 cited
2009Predicting bankruptcy using the discrete-time semiparametric hazard model39 cited

Cited by

2016Spline based survival model for credit risk modeling36 cited
2014Intensity models and transition probabilities for credit card loan delinquencies36 cited
2014The stability of survival model parameter estimates for predicting the probability of default: Empirical evidence over the credit crisis33 cited
2020

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default

31 cited

2022Joint models for longitudinal and discrete survival data in credit scoring30 cited

2017Credit risk term-structures for lifetime impairment forecasting: A practical guide26 cited

2022The profitability of online loans: A competing risks analysis on default and prepayment24 cited