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Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models
14 references·0 citing·38 second hop
Initial and Final Backward and Forward Discrete Time Non-homogeneous Semi-Markov Credit Risk Models (2009)Initial and Final Backward and Forward Di…Introduction to Stochastic Processes (2014)Introduction to Stochastic Pr…Homogeneous semi-Markov reliability models for credit risk management* (2006)Homogeneous semi-Markov relia…An inhomogeneous semi-Markov model for the term structure of credit risk spreads (2006)An inhomogeneous semi-Markov …Rating Transitions and Defaults Conditional on Watchlist, Outlook and Rating History (2004)Rating Transitions and Defaul…Credit Risk (2003)Credit RiskAnalyzing rating transitions and rating drift with continuous observations (2002)Analyzing rating transitions …An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Ris…An Introduction to Credit Risk Modeling (2002)An Introduction to Credit Ris…Default and Recovery Rates of Corporate Bond Issuers: 2000 (2001)Default and Recovery Rates of…Stability of rating transitions (2000)Stability of rating transitio…Estimating Credit Rating Transition Probabilities for Corporate Bonds (2000)Estimating Credit Rating Tran…The importance and subtlety of credit rating migration (1998)The importance and subtlety o…A Markov Model for the Term Structure of Credit Risk Spreads (1997)A Markov Model for the Term S…Measuring Changes in Corporate Credit Quality (1994)Measuring Changes in Corporat…ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Common risk factors in the returns on stocks and bonds (1993)Confidence sets for continuous-time rating transition probabilities (2004)The multi-state latent factor intensity model for credit rating transitions (2007)Credit cycles and macro fundamentals (2008)Measuring Corporate Bond Mortality and Performance (1989)Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds (1996)Credit risk measurement: Developments over the last 20 years (1997)How rating Agenices achieve rating stability (2004)Internal ratings systems, implied credit risk and the consistency of banks’ risk classification policies (2006)Does carbon emission of firms matter for Bank loans decision? Evidence from China (2023)On cox processes and credit risky securities (1998)Forecasting Bankruptcy More Accurately: A Simple Hazard Model (2001)Are credit ratings procyclical? (2004)Macroeconomic Dynamics and Credit Risk: A Global Perspective (2006)Measuring Default Risk Premia from Default Swap Rates and EDFs (2007)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Arbitrage Theory in Continuous Time (1998)Explaining the Rate Spread on Corporate Bonds (2001)Term Structures of Credit Spreads with Incomplete Accounting Information (2001)Credit risk modeling with affine processes (2005)Neural nets versus conventional techniques in credit scoring in Egyptian banking (2007)A multicriteria outranking approach for modeling corporate credit ratings: An application of the Electre Tri-nC method (2018)Ratings migration and the business cycle, with application to credit portfolio stress testing (2002)How rating agencies achieve rating stability (2004)Credit risk measurement and procyclicality (2003)Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidence (2004)Modeling the effect of macroeconomic factors on corporate default and credit rating transitions (2011)Fast simulation of rare events in queueing and reliability models (1995)A Theory of Trickle-Down Growth and Development (1997)A taxonomy of model structures for economic evaluation of health technologies (2006)Integrated risk modelling (2004)Credit Risk Assessment and Relationship Lending: An Empirical Analysis of German Small and Medium-Sized Enterprises* (2007)The impact of predatory loan terms on subprime foreclosures: The special case of prepayment penalties and balloon payments (2007)How Profitable Is Capital Structure Arbitrage? (2006)An Empirical Analysis of the Pricing of Collateralized Debt Obligations (2008)
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References

  • 2014Introduction to Stochastic Processes2,383 cited
  • 1997A Markov Model for the Term Structure of Credit Risk Spreads1,476 cited
  • 2000Stability of rating transitions562 cited
  • 2003Credit Risk560 cited
  • 2002Analyzing rating transitions and rating drift with continuous observations439 cited
  • 2002An Introduction to Credit Risk Modeling318 cited
  • 2001Default and Recovery Rates of Corporate Bond Issuers: 2000228 cited
  • 2002An Introduction to Credit Risk Modeling227 cited
  • 2000Estimating Credit Rating Transition Probabilities for Corporate Bonds137 cited
  • 1998The importance and subtlety of credit rating migration129 cited
  • 1994Measuring Changes in Corporate Credit Quality128 cited
  • 2006Homogeneous semi-Markov reliability models for credit risk management*60 cited
  • 2006An inhomogeneous semi-Markov model for the term structure of credit risk spreads49 cited
  • 2004Rating Transitions and Defaults Conditional on Watchlist, Outlook and Rating History39 cited

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