Index
A
Abramowitz, M., 216
ABRS, 67
Accuracy ratio, 145. See also Hull-White model; Merton model; Vasicek-Kealhofer model
Actuarial science, 84
Adams, K, 34
Aggregate debt structure, 45
Agrawal, D., 163
All-orders result, 177
Altman, E., 34, 62, 75, 99, 184
Andersen, P., 99
Anderson, R., 62
Anderson and Darling Statistic, 203
Anderson-Darling criterion, 208
Andrade, G., 62
Ang, A., 216
A-rated debt, default probabilities (L-T model usage), 50
Arora, Navneet, 163
Asset liquidity, 43
Asset process, systematic risk, 145
Asset volatility, 138
estimation, 48
generation, 138
increase, 52
Asset-liability ratios, 43
Asymmetric correlation, presence, 206
Asymmetric exceedance correlations. See PDs
B
Baa-rated debt, default probabilities, 53
L-S model, usage, 51
L-T model, usage, 48
Backward substitutions, 108, 111
Bakshi, F., 130
Balance sheet data, unavailability, 8
Bangia, A., 99
Bankruptcy
costs/taxes, impact, 133
histories, 2
Base case
default probability/horizon contrast, 56
good fit, 50
table, 47
Baseline intensity. See Time-varying baseline intensity
Basle Committee on Banking Supervision, 187
Beta distribution, usefulness, 68
Bharath, S., 75
Bhatia, M., 76
Biostatistics, 84
Bivariate intensity
non-parametric estimator, 83
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