Results 271 to 280 of about 160,958 (306)

Dynamics of probabilities of default

Probabilities of default (PDs) of loans are of central importance for financial stability. We analyze the PDs, reported quarterly by German financial institutions to Deutsche Bundesbank. The development of PDs is modelled as an AR process of PD changes and an initial PD.
Bednarek, Peter, Franke, Günter
openaire   +3 more sources

Probability of Default Models

2016
Validators should ensure that all model components and the related outputs have been thoroughly tested. Let us recall that the first of the BCBS (2005) validation principles is that “Validation is fundamentally about assessing the predictive ability of a bank’s risk estimates and the use of ratings in the credit process.” We will follow Tasche (2008 ...
openaire   +1 more source

Environmental, social and governance disclosure and default risk

Business Strategy and the Environment, 2021
Muhammad Atif, Searat Ali
exaly  

Estimation of Default Probabilities ­ Part 3: Stochastic Default Probabilities: Credit Risk+

SSRN Electronic Journal, 2003
The article provides a detailed analysis of the approach to estimate firms' default probabilities as it is proposed in the Credit Risk+ portfolio model. It is shown that systematic estimation errors occur in the methodology that also carry over to credit portfolio risk management.
openaire   +1 more source

Carbon emissions and default risk: International evidence from firm-level data

Economic Modelling, 2021
Md Nurul Kabir, Sohanur Rahman, Mumtaheena Anwar   +2 more
exaly  

Forecasting corporate default risk in China

International Journal of Forecasting, 2022
Xuan Zhang, Yang Zhao, Xiao Yao
exaly  

Probability of Default

2005
Barone, Gaia, Kelly, Caragh
openaire   +1 more source

ESG and Firm's Default Risk

Finance Research Letters, 2022
exaly  

The Brain's Default Network

Annals of the New York Academy of Sciences, 2008
Randy L Buckner, Jessica R Andrews-Hanna, Daniel L Schacter   +2 more
exaly  

Defaults, Logic and Probability - A Theoretical Perspective.

Künstliche Intell., 2001
The complexity of the real world and the restricted availability of knowledge call for powerful logical frameworks to deal with uncertainty, reaching from qualitative default formalisms to quantitative probability logics. In particular, reasoning under uncertainty requires defeasible inference notions.
openaire   +1 more source