SZodixStudyAcademic Library

Dashboard Shelves Open access My library Inbox Notes Write Learn Alerts

More

Ask your library Notifications Quick cite Review

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

A Survey of Cyclical Effects in Credit Risk Measurement Models · Study

PreprintShelves

PreprintA Survey of Cyclical Effects in Credit Risk Measurement Models

Linda Allen2005

OA

Preprintgreen2005

A Survey of Cyclical Effects in Credit Risk Measurement Models

Linda Allen · Anthony Saunders

135 citations·0/0 files stored·SSRN Electronic Journal

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Credit Risk and Financial Regulations Financial Risk and Volatility Modeling Financial Distress and Bankruptcy Prediction

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 135 citations exist upstream.

References

1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*1994Corporate Debt Value, Bond Covenants, and Optimal Capital Structure 2001Extreme Correlation of International Equity Markets 1999Modeling Term Structures of Defaultable Bonds 2001The Determinants of Credit Spread Changes 1995A Simple Approach to Valuing Risky Fixed and Floating Rate Debt 1997A Markov Model for the Term Structure of Credit Risk Spreads 1991The Credit Crunch

Cited by

2009BANK CAPITAL REQUIREMENTS, BUSINESS CYCLE FLUCTUATIONS AND THE BASEL ACCORDS: A SYNTHESIS 2004Macro Stress Testing with a Macroeconomic Credit Risk Model for Finland 2003Issues in the credit risk modeling of retail markets 2003Simulation based stress tests of banks' regulatory capital adequacy 2004The Impact of Basel II on Lending to Small- and Medium-Sized Firms: A Regulatory Policy Assessment Based on Spanish Credit Register Data 2005Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literaturearticle · 39 shared references 20032005), “The Link between Default and Recovery Ratesreport · 14 shared references 2004Default Recovery Rates in Credit Risk Modelling: A Review of the Literature and Empirical Evidencearticle · 13 shared references 2005Credit risk modeling with affine processesarticle · 13 shared references 2006Correlated Default Riskarticle · 13 shared references 2018Credit Risk Research: Review and Agendaarticle · 13 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations135

Files0 public / 0

ShelfCredit Risk and Financial Regulations

Identifiers

doi10.2139/ssrn.315561

openalex_workW2111585935

Links

Imported from OpenAlex (CC0) — nothing here is generated.

2009Financial Sector Pro-Cyclicality: Lessons from the Crisis

2006Common Failings: How Corporate Defaults are Correlated