Quality control for structural credit risk models
DOI10.1016/J.JECONOM.2008.08.013zbMATH Open1429.62456OpenAlexW3126054364MaRDI QIDQ299230FDOQ299230
Authors: Elena Andreou, Eric Ghysels 
Publication date: 22 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://papers.econ.ucy.ac.cy/RePEc/papers/07-03.pdf
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Sequential statistical analysis (62L10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
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Cited In (6)
- Structural credit risk models with subordinated processes
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- Monetary loss surveillance for credit models
- Continuous monitoring: does credit risk vanish?
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