Multiperiod default probability forecasting
O Blümke - Journal of Forecasting, 2022 - Wiley Online Library
Accounting standards require that financial institutions must measure default risk with
respect to the full maturity of a financial instrument. This requires forecasting of future default …
respect to the full maturity of a financial instrument. This requires forecasting of future default …
On the Basel accord's inverse relationship between default probability and asset correlation: An empirical study
O Blümke - The Journal of Fixed Income, 2015 - search.proquest.com
Abstract The Basel Accord assumes an inverse relationship between the probability of
default and the asset correlation parameter, with the latter being responsible for modeling …
default and the asset correlation parameter, with the latter being responsible for modeling …
Ocena siły dyskryminacyjnej wybranych polskich modeli predykcji bankructwa w ramach procesu walidacji
N Nehrebecka - Nauki o Finansach, 2018 - ceeol.com
The purposes of this article are to present validation techniques according to their
discriminatory power, while indicating the reservations about such techniques, and to check …
discriminatory power, while indicating the reservations about such techniques, and to check …
An evaluation of the discriminatory power of selected Polish bankruptcy prediction models as part of the validation process
N Nehrebecka - Nauki o Finansach, 2018 - cejsh.icm.edu.pl
The purposes of this article are to present validation techniques according to their
discriminatory power, while indicating the reservations about such techniques, and to check …
discriminatory power, while indicating the reservations about such techniques, and to check …