Imagen de Portada

Modelling the term-structure of default risk under IFRS 9 within a multistate regression framework

Fuente: arXiv

Guardado en:

Detalles Bibliográficos
Autores principales:	Botha, Arno, Verster, Tanja, Breedt, Roland
Formato:	Preprint
Publicado:	2025
Materias:	Risk Management Statistical Finance Applications
Acceso en línea:	Acceder al recurso
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares

Exploring different subtypes of recurrent event Cox-regression models in modelling lifetime default risk: A tutorial
por: Botha, Arno, et al.
Publicado: (2025)

Approaches for modelling the term-structure of default risk under IFRS 9: A tutorial using discrete-time survival analysis
por: Botha, Arno, et al.
Publicado: (2025)

The TruEnd-procedure: Treating trailing zero-valued balances in credit data
por: Botha, Arno, et al.
Publicado: (2024)

Defining and comparing SICR-events for classifying impaired loans under IFRS 9
por: Botha, Arno, et al.
Publicado: (2023)

Deriving the term-structure of loan write-off risk under IFRS 9 by using survival analysis: A benchmark study
por: Botha, Arno, et al.
Publicado: (2026)

Probabilistic forecasting with a hybrid Factor-QRA approach: Application to electricity trading
por: Maciejowska, Katarzyna, et al.
Publicado: (2023)

LASSO Principal Component Averaging -- a fully automated approach for point forecast pooling
por: Uniejewski, Bartosz, et al.
Publicado: (2022)

Data-Driven Risk Measurement by SV-GARCH-EVT Model
por: Xiao, Minheng
Publicado: (2022)

A cost of capital approach to determining the LGD discount rate
por: Larney, Janette, et al.
Publicado: (2025)

Multivariate GARCH and portfolio variance prediction: A forecast reconciliation perspective
por: Caporin, Massimiliano, et al.
Publicado: (2026)

Enhancing a Risk Model by Adding Transient Statistical Factors
por: Tzikas, Alexandros E., et al.
Publicado: (2026)

Static marginal expected shortfall: Systemic risk measurement under dependence uncertainty
por: Chen, Jinghui, et al.
Publicado: (2025)

Random processes for long-term market simulations
por: Zumbach, Gilles
Publicado: (2025)

Statistical Validation of Contagion Centrality in Financial Networks
por: Sadeghi, Agathe, et al.
Publicado: (2024)

Using quantile time series and historical simulation to forecast financial risk multiple steps ahead
por: Gerlach, Richard, et al.
Publicado: (2025)

Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models
por: Koch, Dennis, et al.
Publicado: (2024)

Extrapolating the long-term seasonal component of electricity prices for forecasting in the day-ahead market
por: Chęć, Katarzyna, et al.
Publicado: (2025)

Foundation Time-Series AI Model for Realized Volatility Forecasting
por: Goel, Anubha, et al.
Publicado: (2025)

Cross-Domain Behavioral Credit Modeling: transferability from private to central data
por: Didkovskyi, O., et al.
Publicado: (2024)

Optimal Transport Divergences induced by Scoring Functions
por: Pesenti, Silvana M., et al.
Publicado: (2023)

Semi-structured multi-state delinquency model for mortgage default
por: Medina-Olivares, Victor, et al.
Publicado: (2026)

Model-free Analysis of Dynamic Trading Strategies
por: Ananova, Anna, et al.
Publicado: (2020)

LLM as a Risk Manager: LLM Semantic Filtering for Lead-Lag Trading in Prediction Markets
por: Kim, Sumin, et al.
Publicado: (2026)

Tail risk forecasting with semi-parametric regression models by incorporating overnight information
por: Chen, Cathy W. S., et al.
Publicado: (2024)

A multistate approach to disability insurance reserving with information delays
por: Sandqvist, Oliver Lunding
Publicado: (2023)

Analysis of Contagion in China's Stock Market: A Hawkes Process Perspective
por: Yang, Junwei
Publicado: (2025)

Replication of Reference-Dependent Preferences and the Risk-Return Trade-Off in the Chinese Market
por: Xu, Penggan
Publicado: (2025)

Unified GARCH-Recurrent Neural Network in Financial Volatility Forecasting
por: Wei, Jingyi, et al.
Publicado: (2025)

Regime-Dependent Predictive Structure Between Equity Factors: Evidence from Granger Causality
por: Lee, Chorok
Publicado: (2026)

Algorithmic Monitoring: Measuring Market Stress with Machine Learning
por: Schmitt, Marc
Publicado: (2026)

Real-time VaR Calculations for Crypto Derivatives in kdb+/q
por: Chen, Yutong, et al.
Publicado: (2023)

Do Prediction Markets Forecast Cryptocurrency Volatility? Evidence from Kalshi Macro Contracts
por: Mohanty, Hardhik, et al.
Publicado: (2026)

Reliability-Aware ETF Tail-Risk Monitoring
por: Zhong, Tenghan, et al.
Publicado: (2026)

Multiple split approach -- multidimensional probabilistic forecasting of electricity markets
por: Maciejowska, Katarzyna, et al.
Publicado: (2024)

Measuring Tail Risks
por: Chen, Kan, et al.
Publicado: (2022)

Risk-Sensitive Specialist Routing for Volatility Forecasting
por: Zhong, Tenghan
Publicado: (2026)

Marking-Aware Sequential VaR Recalibration for Standardized Option Books
por: Zhong, Tenghan, et al.
Publicado: (2026)

Differential Quantile-Based Sensitivity in Discontinuous Models
por: Pesenti, Silvana M., et al.
Publicado: (2023)

A Note on the Generalized Cape Cod Reserving Method
por: Richman, Ronald, et al.
Publicado: (2026)

Regime Discovery and Intra-Regime Return Dynamics in Global Equity Markets
por: Luwang, Salam Rabindrajit, et al.
Publicado: (2026)