Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection
Rösch, Daniel and Scheule, Harald (2014) Forecasting Probabilities of Default and Loss Rates Given Default in the Presence of Selection. Journal of the Operational Research Society 65 (3), pp. 393-407.Date of publication of this fulltext: 18 Jun 2013 09:08
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| Item type | Article | ||||
| Journal or Publication Title | Journal of the Operational Research Society | ||||
| Publisher: | Palgrave Macmillan | ||||
|---|---|---|---|---|---|
| Volume: | 65 | ||||
| Number of Issue or Book Chapter: | 3 | ||||
| Page Range: | pp. 393-407 | ||||
| Date | 2014 | ||||
| Institutions | Business, Economics and Information Systems > Institut für Betriebswirtschaftslehre > Lehrstuhl für Statistik und Risikomanagement (Prof. Dr. Rösch) | ||||
| Identification Number |
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| Keywords | credit risk; correlation; probability of default; loss given default; recovery; tobit model | ||||
| Dewey Decimal Classification | 300 Social sciences > 330 Economics | ||||
| Status | Published | ||||
| Refereed | Yes, this version has been refereed | ||||
| Created at the University of Regensburg | No | ||||
| Item ID | 28306 |
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