Credit Scoring and Its Applications, Second Edition : Back Matter Page 1 Bibliography [1]
Acharya, VV, Bharath, ST, and Srinivasan, A. (2007) Does industry-wide distress affect …

We present discrete time survival models of borrower default for credit cards that include
behavioural data about credit card holders and macroeconomic conditions across the credit …

Retail credit models are implemented using discrete survival analysis, enabling
macroeconomic conditions to be included as time-varying covariates. In consequence, these …

This paper offers a joint estimation approach for forecasting probabilities of default and loss
rates given default in the presence of selection. The approach accommodates fixed and …

Using a unique and comprehensive data set on the two largest economies of the Eurozone-
France and Germany-this paper first proceeds to a computation of the Gordy formula …

The new FASB current expected credit loss (CECL) proposal, IASB's IFRS 9, and regulatory
stress testing all require that the industry move toward forecasting probabilities of future …

Based on anecdotal evidence, regulatory arbitrage was a major catalyst of the recent
financial crisis. However, regulatory arbitrage is both theoretically and empirically not yet …

The paper argues that it would be natural to replace the standard normal distribution
function by the logistic function in the regulatory Basel II (Va-sicek's) formula. In fact, such a …

The approach to the measurement of credit risk recommended by the new Basel Capital
Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for …

In this article we propose the use of an asymmetric binary link function to extend the
proportional hazard model for predicting loan default. The rationale behind this approach is …