Credit risk signals in CDS market vs agency ratings

M Jacobs Jr, AK Karagozoglu… - The Journal of Risk …, 2016 - emerald.com
Purpose This research aims to model the relationship between the credit risk signals in the
credit default swap (CDS) market and agency credit ratings, and determines the factors that …

Deriving consensus ratings of the big three rating agencies

B Grün, P Hofmarcher, K Hornik, C Leitner… - Journal of Credit …, 2013 - research.wu.ac.at
This paper introduces a model framework for dynamic credit rating processes. Our
framework aggregates ordinal rating information stemming from a variety of rating sources …

Dynamic modelling of corporate credit ratings and defaults

L Vana, K Hornik - Statistical Modelling, 2023 - journals.sagepub.com
In this article, we propose a longitudinal multivariate model for binary and ordinal outcomes
to describe the dynamic relationship among firm defaults and credit ratings from various …

Probability of default validation: a single-year and a multiyear methodology for the Basel framework

O Blümke - The Journal of Risk Model Validation, 2012 - search.proquest.com
This paper proposes two methodologies that are designed to test whether observed default
rates are in line with default probabilities applied within the Basel framework. This is done by …

[PDF][PDF] Common Credit Assessment System zur Bonitätsbeurteilung von nichtfinanziellen Unternehmen–das statistische Ratingmodell

C Leitner, M Mayer - STATISTIKEN–Daten und Analysen Q, 2015 - eurologisch.at
50 OESTERREICHISCHE NATIONALBANK mindest für große Konzerne zusätzliche Daten,
die typischerweise nur einer Notenbank zur Verfügung stehen, auszuschöpfen. Um auch …

[PDF][PDF] Do interbank markets price systemic risk

C Siebenbrunner, M Sigmund - 2018 - risklab.fi
An important motivation for financial regulation is the premise that the externality imposed by
bank failures on the financial system is not reflected in market pricing. In this study we …

2.2 Die Bonitätsanalyse der Deutschen Bundesbank im Rahmen des Europäischen Sicherheiten-Rahmenwerks für geldpolitische Operationen

L Auria, M Bingmer - Credit Analyst, 2015 - degruyter.com
Der folgende Aufsatz befasst sich mit den wesentlichen Aspekten der Bonitätsanalyse der
Deutschen Bundesbank als eine der im Eurosystem zugelassenen Quellen für die …

[PDF][PDF] Advanced Regression Methods in Finance and Economics: Three Essays

P Hofmarcher - 2012 - research.wu.ac.at
Advanced Regression Methods in Finance and Economics: Three Essays Advanced Regression
Methods in Finance and Economics: Three Essays Hofmarcher, Paul DOI …

[PDF][PDF] 2. Beurteilerin/2. Beurteiler: Univ. Prof. Dr. Stefan Pichler

D DER SOZIAL-UND - 2012 - Citeseer
Diese kumulative Dissertation umfasst drei Arbeiten in denen mithilfe erweiterter
Bayesianischer Regressionsmodelle mehrere ökonomische und finanzwirtschaftliche …

[引用][C] Validating point-in-time vs. through-the-cycle credit rating systems (Preliminary paper)

M Mayer, F Resch, S Sauer - 2017