Correction to: Probability of default estimation in credit risk using a nonparametric approach
نویسندگان
چکیده
منابع مشابه
Dependence of Default Probability and Recovery Rate in Structural Credit Risk Models: Empirical Evidence from Greece
The main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. We examine the dependence between PD and RR by theoretical approach. For the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. These methods allow to determinate...
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15 صفحه اولdependence of default probability and recovery rate in structural credit risk models: empirical evidence from greece
the main idea of this paper is to study the dependence between the probability of default and the recovery rate on credit portfolio and to seek empirically this relationship. we examine the dependence between pd and rr by theoretical approach. for the empirically methodology, we use the bootstrapped quantile regression and the simultaneous quantile regression. these methods allow to determinate...
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ژورنال
عنوان ژورنال: TEST
سال: 2020
ISSN: 1133-0686,1863-8260
DOI: 10.1007/s11749-020-00748-6