Quality control for structural credit risk models

DOI10.1016/J.JECONOM.2008.08.013MaRDI QIDQ299230zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

structural changesequential testscredit risk models

Mathematics Subject Classification ID

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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Cites work

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Cited in

(6)

• Specification analysis of structural credit risk models
• Continuous monitoring: does credit risk vanish?
• Monitoring the mean of multivariate financial time series
• Sequential monitoring of portfolio betas
• Structural credit risk models with subordinated processes
• Monetary loss surveillance for credit models

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