Artikel
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Checking Default Correlation and Score Correlation in a Breakpoint Model for Rating Classification
Supplements to “Estimation of rating classes and default probabilities in credit risk models with dependencies” [Appl. Stoch. Models Bus. Ind. 31 (2015), 762–781]
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Daniel Tillich
Veröffentlicht/Copyright:
8. April 2016
Received: 2015-10-2
Revised: 2016-1-26
Accepted: 2016-3-26
Published Online: 2016-4-8
Published in Print: 2016-6-1
© 2016 by De Gruyter
Artikel in diesem Heft
- Frontmatter
- Checking Default Correlation and Score Correlation in a Breakpoint Model for Rating Classification
- An ARL-Unbiased np-Chart
- Design of Optimal Reliability Acceptance Sampling Plans for Exponential Distribution
- New Acceptance Sampling Plans Based on Percentiles for Exponentiated Fréchet Distribution
- Bayesian Prediction Bounds for the Exponential-Type Distribution Based on Ordered Ranked Set Sampling
- Solving a Functional Equation and Characterizing Distributions by Quantile Past Lifetime Functions
Schlagwörter für diesen Artikel
Default Correlation;
Score Correlation;
Split Point;
Default Probability;
Credit Risk Model;
Rating Classification
Artikel in diesem Heft
- Frontmatter
- Checking Default Correlation and Score Correlation in a Breakpoint Model for Rating Classification
- An ARL-Unbiased np-Chart
- Design of Optimal Reliability Acceptance Sampling Plans for Exponential Distribution
- New Acceptance Sampling Plans Based on Percentiles for Exponentiated Fréchet Distribution
- Bayesian Prediction Bounds for the Exponential-Type Distribution Based on Ordered Ranked Set Sampling
- Solving a Functional Equation and Characterizing Distributions by Quantile Past Lifetime Functions
