A comparative analysis of current credit risk models

No abstract is available for this paper.

• Publication year

  2000

• Venue

  Journal of Banking and Finance

• Publication date

  Unknown publication date

• Fields of study

  Business, Economics

• Identifiers
  DOI 10.1016/S0378-4266(99)00053-9
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Portfolio Credit Risk

  1998cited by this paper
• Monte Carlo: Concepts, Algorithms, and Applications

  1997cited by this paper
• Almost Everything You Wanted to Know about Recoveries on Defaulted Bonds

  1996cited by this paper
• Portfolio Management of Default Risk

  1996cited by this paper
• Defaults and Returns on High Yield Bonds: Analysis Through 1995

  1995cited by this paper
• Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants

  1995cited by this paper
• Default Correlation and Credit Analysis

  1995cited by this paper
• Stochastic equity volatility related to the leverage effect

  1994cited by this paper
• Sorting Out Risks Using Known APT Factors

  1988cited by this paper
• Economic Forces and the Stock Market

  1986cited by this paper
• Modern Portfolio Theory: The Principles of Investment Management

  1982cited by this paper
• Modern portfolio theory and investment analysis

  1981cited by this paper
• Extra-Market Components of Covariance in Security Returns

  1974cited by this paper
• Alternative Industry Performance and Risk

  1974cited by this paper

• Physical climate risk and banks’ credit risk: Worldwide evidence

  2026cites this paper
• Credit Risk Management and Nonperforming Assets: A Study in Commercial Banks in India

  2025cites this paper
• Monte Carlo Simulations for Resolving Verifiability Paradoxes in Forecast Risk Management and Corporate Treasury Applications

  2025cites this paper
• How the Four Asian Tigers navigate systemic risk: A Basel framework perspective

  2025cites this paper
• Assessing The Impact of Carbon Taxation Plan of Coal Companies Default Risk in Indonesia

  2025cites this paper
• Market Efficiency and its Determinants: Macro-Level Dynamics and Micro-Level Characteristics of Cryptocurrencies

  2025cites this paper
• A Structural Credit Risk Model with Jumps Based on Uncertainty Theory

  2025cites this paper
• Mapping Research on Sovereign Bonds: A Bibliometric Analysis of Emerging Market Economies

  2025cites this paper
• Higher-Order Exposures

  2025cites this paper
• Technological Diversification and Resilience to Systematic Risk: Evidence from Listed Firms in China

  2025cites this paper
• Algorithmically Efficient Identification of Volatile KSE-30 Equities and Their Role in Optimized Portfolio Allocation

  2025cites this paper
• The Impact of Credit Risk Management Policies on the Growth of Deposit Money Banks: The Nigerian Experience

  2025cites this paper
• Shadow seniority? Lending relationships and borrowers’ selective default

  2024cites this paper
• The effect of foreign direct investment inflows on non-performing loans

  2024cites this paper
• Robust Bernoulli Mixture Models for Credit Portfolio Risk

  2024cites this paper
• Calculation of the Level of Death Risk in Traffic Accidents Based On Aggregate Loss Costs

  2024cites this paper
• Addressing Key Challenges of Adversarial Attacks and Defenses in the Tabular Domain: A Methodological Framework for Coherence and Consistency

  2024cites this paper
• Minimax Optimal Rates With Heavily Imbalanced Binary Data

  2024cites this paper
• Covenant-lite agreement and credit risk: A key relationship in the leveraged loan market

  2024cites this paper
• Assessing Credit Risk through Borrower Analysis to Minimize Default Risks in Banking Sectors Effectively.

  2024cites this paper
• Research on Measuring Default Risk of Internet Microloans Based on the CreditRisk+ Model

  2024cites this paper
• An Enhanced Credit Risk Evaluation by Incorporating Related Party Transaction in Blockchain Firms of China

  2024cites this paper
• Graph Dimension Attention Networks for Enterprise Credit Assessment

  2024cites this paper
• Dynamic margin optimization

  2024cites this paper
• Cooperativismo de Crédito e o Efeito Anticíclico Nacional. A ótica cooperativa na política monetária.

  2024cites this paper
• Advancing financial resilience: A systematic review of default prediction models and future directions in credit risk management

  2024cites this paper
• Credit risk evaluation on technological SMEs in China

  2024cites this paper
• Can U.S. macroeconomic indicators forecast cryptocurrency volatility?

  2024cites this paper
• A Logistic Regression Based Credit Risk Assessment Using WoE Bining and Enhanced Feature Engineering Approach ANOVA and Chi-Square

  2023cites this paper
• Measurement and Calibration of Regulatory Credit Risk Asset Correlations

  2023influential citation
• FEDERATED LEARNING TECHNIQUES APPLIED TO CREDIT RISK MANAGEMENT: A SYSTEMATIC LITERATURE REVIEW

  2023cites this paper
• A federated machine learning approach for order-level risk prediction in Supply Chain Financing

  2023cites this paper
• A Rank Estimator Approach to Modeling Default Frequencies

  2023cites this paper
• Secure Practices to Prevent Cyber Attacks in E-Commerce Sites

  2023cites this paper
• Financial effects of carbon risk and carbon disclosure: A review

  2023cites this paper
• Optimal Siting and Sizing of Electric Vehicle Energy Supplement Infrastructure in Highway Networks

  2023cites this paper
• An attention‐based Logistic‐CNN‐BiLSTM hybrid neural network for credit risk prediction of listed real estate enterprises

  2023cites this paper
• Historical Diversity in Credit Intermediation: Cosignatory Lending Institutions in Europe and North America, 1700s–1960s

  2023cites this paper
• Risk and Bankruptcy Research: Mapping the State of the Art

  2023cites this paper
• Credit Risks and Capital Risks and their impact on Banking Liquidity, Applied Research in al-Mansour Investment Bank and the Iraqi Investment Bank

  2023cites this paper
• Credit Risk Management and the Financial Performance of Domiciled Banks in Sierra Leone: An Empirical Analysis

  2022cites this paper
• Credit Risk Modelling of Mortgage Loans in the Supervisory Stress Test of the Magyar Nemzeti Bank

  2022influential citation
• Multi-Period Loan Interest Rate Nash Model with Basel II Solvency Constraint

  2022cites this paper
• Macroeconomic conditions, corporate default, and default clustering

  2022cites this paper
• Modelling of corporate exposure at default (EAD) in emerging financial markets: The case for counters listed on the Zimbabwe stock exchange (ZSE) in the dollarization era

  2022cites this paper
• Does fear spur default risk?

  2022cites this paper
• Identifying discreditable firms in a large-scale ownership network

  2022cites this paper
• Bank Financial Performance and its Linkage with Capital: A Dynamic Panel Data Analysis of Public Sector Banks in India

  2022cites this paper
• Structuring Key Credit Risk Parameters for Regulated Electric and Gas Utilities under Alternative Moody’s Rating Methodologies: A Case Study for a Natural Gas Distribution Utility

  2021cites this paper
• Consumers’ Perception of The Cost of Credit Default in The Vehicle Finance Industry in South Africa

  2021cites this paper
• Research on Network Lending Risk Analysis Based on Platform Efficiency

  2021cites this paper
• Sovereign debt holdings and banks’ credit risk: Evidence from the Eurozone

  2021cites this paper
• DETERMINAÇÃO DE PROBABILIDADES DE DEFAULT APARTIR DE MODELOS DE RISCO DE CRÉDITO

  2021cites this paper
• Blockchain and machine learning based peer-to-peer lending for the postpandemic economy

  2021cites this paper
• Possibilities and limitations of the use of bankruptcy prediction models for insolvency prevention

  2021cites this paper
• Credit Risk Propagation in Structural-Form Models

  2021cites this paper
• Calibrating the CreditRisk+ Model at Different Time Scales and in Presence of Temporal Autocorrelation †

  2021cites this paper
• Environmental Impact Bonds: a common framework and looking ahead

  2021cites this paper
• Bank strategic asset allocation under a unified risk measure

  2021cites this paper
• Risk? Crisis? Emergency? Implications of the new climate emergency framing for governance and policy

  2021cites this paper
• Methodological Approach to Assessing the Effectiveness of Managing the Investment Potential of International Financial Corporations

  2021cites this paper
• Predicting corporate credit risk: Network contagion via trade credit

  2021cites this paper
• Some New Alternative Formulations of Adaptive Kalman Filter for Market Risk Beta Estimation

  2021cites this paper
• Distributed Calculation Credit Portfolio Models

  2021cites this paper
• A Case Study of the Impact of Climate Change on Agricultural Loan Credit Risk

  2021cites this paper
• The unintended consequences of regulatory import: the Basel Accord’s failure during the financial crisis

  2020cites this paper
• Modelos de mezclas Bernoulli con regresión logística: una aplicación en la valoración de carteras de crédito

  2020cites this paper
• Distress risk, product market competition, and corporate bond yield spreads

  2020cites this paper
• Corporate governance and correlation in corporate defaults

  2020cites this paper
• Stock price related financial fragility and growth patterns

  2020influential citation
• Formulation of the mathematical model for the planning system in the carriage of dangerous goods by rail

  2020cites this paper
• Análise do risco de incumprimento das PME familiares

  2020cites this paper
• Modeling Portfolio Credit Risk Taking into Account the Default Correlations Using a Copula Approach: Implementation to an Italian Loan Portfolio

  2020cites this paper
• Financial ratios and non-payment risk factor with panel probit model: a case of Turkey

  2020cites this paper
• Effect of Credit Risk Management on Financial Performance of listed Microfinance Banks in Nigeria

  2020cites this paper
• merton approach to estimating loss given default

  2020cites this paper
• Measuring credit risk in family firms

  2020cites this paper
• Analyzing the Risk Management Framework of Ethiopian Banking System A Case Study for Commercial Bank of Ethiopia

  2020cites this paper
• A Big Data Analytics Approach for Dynamic Feedback Warning for Complex Systems

  2020cites this paper
• Does family ownership always reduce default risk?

  2020cites this paper
• Contribution of Loan Portfolio Management on Financial Performance of Commercial Banks in Rwanda

  2020cites this paper
• Machine learning techniques for credit risk evaluation: a systematic literature review

  2020cites this paper
• Managing firm risk through supply chain dependence: an SME perspective

  2020cites this paper
• A prediction model for the secure issuance scale of Chinese local government bonds

  2020cites this paper
• Modeling CDS spreads: A comparison of some hybrid approaches

  2020cites this paper
• Credit rating migration risk and interconnectedness in a corporate lending network

  2020cites this paper
• Value at risk estimation of exchange rate in banking industry

  2020cites this paper
• Performance of default-risk measures: the sample matters

  2020cites this paper
• Quantitative Methods in Economics and Finance

  2019cites this paper
• The relationship between credit risk management and non-performing assets of commercial banks in India

  2019cites this paper
• Investigating the Impact of Credit Risk and Liquidity Risk on Loan Growth in Banks Listed in Tehran Stock Exchange

  2019cites this paper
• Preservation of WSAI under default transforms and its application in allocating assets with dependent realizable returns

  2019cites this paper
• Hedging parameter risk

  2019cites this paper
• Knowledge mapping of credit risk research: scientometrics analysis using CiteSpace

  2019cites this paper
• Computational approaches and data analytics in financial services: A literature review

  2019cites this paper
• The effect of stricter capital regulation on banks’ risk‐taking: Theory and evidence

  2019cites this paper
• Optimal margin requirement

  2019cites this paper
• Tail-Related Risk Measurement and Forecasting in Equity Markets

  2019cites this paper
• Credit risk migration rates modelling as open systems II: A simulation model and IFRS9-baseline principles

  2019cites this paper
• Implications of Model Uncertainty for Bank Stress Testing

  2019cites this paper