Checking default correlation and score correlation in a breakpoint model for rating classification

DOI10.1515/EQC-2015-0006MaRDI QIDQ1650545zbMATH OpenOpenAlexFDO

Authors Daniel Tillich

Publication date 4 July 2018

Published in Economic Quality Control (Search for Journal in Brave)

Full work available at URL https://www.degruyter.com/view/j/eqc.2016.31.issue-1/eqc-2015-0006/eqc-2015-0006.xml?format=INT

zbMATH Keywords

credit risk modeldefault correlationdefault probabilityrating classificationscore correlationsplit point

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Stochastic models in economics (91B70) Credit risk (91G40)

Recommendations

• Estimation of rating classes and default probabilities in credit risk models with dependencies
• Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio
• Modeling rating transitions with instantaneous default
• Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
• An Introduction to Credit Risk Modeling

Cites work

• Estimation of rating classes and default probabilities in credit risk models with dependencies
• Estimation of split-points in binary regression
• scientific article; zbMATH DE number 435515 (Why is no real title available?)
• scientific article; zbMATH DE number 5723836 (Why is no real title available?)
• scientific article; zbMATH DE number 3712886 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Nonparametric estimation of a discontinuity in regression

Cited in

(1)

• Estimation of rating classes and default probabilities in credit risk models with dependencies

Describes a project that uses

Uses Software

• QRM

This page was built for publication: Checking default correlation and score correlation in a breakpoint model for rating classification

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1650545)