Estimation of rating classes and default probabilities in credit risk models with dependencies
DOI10.1002/ASMB.2089zbMATH Open1411.62308OpenAlexW1581770852MaRDI QIDQ4620127FDOQ4620127
Authors: Daniel Tillich, Dietmar Ferger 
Publication date: 8 February 2019
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.2089
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Nonparametric hypothesis testing (62G10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)
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- Checking default correlation and score correlation in a breakpoint model for rating classification
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- Modeling dependent credit rating transitions: a comparison of coupling schemes and empirical evidence
- Modeling dependencies between rating categories and their effects on prediction in a credit risk portfolio
- Numerical estimates of risk factors contingent on credit ratings
- Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products
- An improved approach to evaluate default probabilities and default correlations with consistency
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