Keywords: احتمال پیش فرض; Default probability; Term structure; Privately held firm; Interest charge; E43; E47; G33;
مقالات ISI احتمال پیش فرض (ترجمه نشده)
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Keywords: احتمال پیش فرض; Naive diversification; Leverage; Default probability; Financial networks; Contagion; Systemic risk; G20; G28;
Keywords: احتمال پیش فرض; Default risk; Structural models; Non-structural model; Hybrid model; Probit model; Default probability;
Keywords: احتمال پیش فرض; Default probability; Markov chain Monte Carlo; Multivariate contingent claim; Pair copula; Vines
Keywords: احتمال پیش فرض; Portfolio; Credit risk; Banking; Default probability; Validation techniques;
Keywords: احتمال پیش فرض; G220; G230; Asymptotic analysis; Asymptotic (in)dependence; Credit contagion; Default probability; Loss given default; Low-default portfolio; Risk measure; Sarmanov distribution;
Keywords: احتمال پیش فرض; Credit risk; Firm solvency; Default probability; Goal programming
Keywords: احتمال پیش فرض; E62; H30; H60; Credit risk; Sovereign risk; Fiscal limits; Default probability;
Keywords: احتمال پیش فرض; C15; C32; C53; E32; G17; Risk contribution; Conditional value-at-risk; Euler capital allocation; Hoeffding decomposition; Default probability;
Keywords: احتمال پیش فرض; E62; H30; H60; Credit risk; Sovereign risk; Fiscal limits; Default probability;
Keywords: احتمال پیش فرض; G; G01; G02; G12; G21; G24; G28; Structural credit risk models; Financial crisis; Risk management; Lehman Brothers; Default probability; Liquidity;
Keywords: احتمال پیش فرض; Credit risk; Default probability; Position-dependent dissipation;
Keywords: احتمال پیش فرض; G12; G13; Accounting based valuation; Credit spreads; Corporate bond valuation; Equity valuation; Default probability;
Keywords: احتمال پیش فرض; G01Money market mutual fund; Credit risk; Copula; Default probability; Break-the-buck
Semiparametric estimation of default probability: Evidence from the Prosper online credit market
Keywords: احتمال پیش فرض; C14; Semiparametric method; Single index model; Default probability;
Banking systemic vulnerabilities: A tail-risk dynamic CIMDO approach
Keywords: احتمال پیش فرض; Financial stability; Procyclicality; Macroprudential policy; Credit risk; Early warning indicators; Default probability; Non-linearities; Generalized dynamic factor model; Dynamic copulas; GARCH
A statistical modeling methodology for the analysis of term structure of credit risk and its dependency
Keywords: احتمال پیش فرض; Credit risk dependency; Corporate bond pricing; Default probability; Loss given default
Default probability of a captive credit bank with government capital injections: A capped barrier option approach
Keywords: احتمال پیش فرض; G21; G28; Capped barrier option; Floorplan financing; Captive bank; Government capital injection; Default probability;
Book-to-market equity, operating risk, and asset correlations: Implications for Basel capital requirement
Keywords: احتمال پیش فرض; G21; G28; Basel Accord; Asset correlation; Book-to-market equity; Operating risk; Default probability;
Extreme shock models: An alternative perspective
Keywords: احتمال پیش فرض; Extreme shock models; Urn models; Default probability
The asymmetric behavior and procyclical impact of asset correlations
Keywords: احتمال پیش فرض; G21; G28; Basel accord; Asset correlation; Size effect; Default probability; Procyclicality;
Samsung card lending model
Keywords: احتمال پیش فرض; Consumer lending business; Credit risk; Default probability; Provision; Capital required
Recovery rates, default probabilities, and the credit cycle
Keywords: احتمال پیش فرض; G21; G28; G33; Credit; Recovery rate; Default probability; Business cycle; Capital requirements; Markov chain;
A down-and-out exchange option model with jumps to evaluate firms' default probabilities in Brazil
Keywords: احتمال پیش فرض; G13; G32; Default probability; Equity market; Debt market; Option;
Credit rating impact on CDO evaluation
Keywords: احتمال پیش فرض; G20; G28; C51; Business cycle; Collateralized Debt Obligation; Correlation; Credit risk; Default probability; Point-in-time; Portfolio; Through-the-cycle;
Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics
Keywords: احتمال پیش فرض; G21; G33; E32; C25; C41; Credit risk; Default probability; Corporate loans; Probit models; Duration analysis;
Implied recovery
Keywords: احتمال پیش فرض; G12; Credit default swaps; Recovery; Default probability; Reduced form;
A first-passage-time model under regime-switching market environment
Keywords: احتمال پیش فرض; G12; G13; G32; First-passage-time model; Regime-switching model; Default probability; Default correlation; Credit default swap;
Calibration of the default probability model
Keywords: احتمال پیش فرض; Credit risk; Default probability; Merton–Vasicek model; Calibration
A simple continuous measure of credit risk
Keywords: احتمال پیش فرض; G33; C20; Default probability; Continuous credit rating; Expected time to default; Corporate bonds;
Default Risk of the UK Real Estate Companies: Is There a Macro-economy Effect?
Keywords: احتمال پیش فرض; C35; G33; L85; Default probability; Probit binary-response model; Real estate companies;
Conditions on option prices for absence of arbitrage and exact calibration
Keywords: احتمال پیش فرض; 60G44; 60J10; C60; G12; Options; Arbitrage; Calibration; Default probability;
Credit risk modeling based on survival analysis with immunes
Keywords: احتمال پیش فرض; Credit risk modeling; Default probability; Survival analysis; Extreme censoring; Mixture distribution; Time to default; Maximum likelihood estimation
Are corporates' target leverage ratios time-dependent?
Keywords: احتمال پیش فرض; G21; G28; G13; Credit risk models; Credit ratings; Default probability;
Early warning systems for sovereign debt crises: The role of heterogeneity
Keywords: احتمال پیش فرض; Credit risk; Default probability; Emerging markets; Loss function; Panel logit; Predictive performance; Unobserved heterogeneity
Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities
Keywords: احتمال پیش فرض; G21; G28; E32; Basel II; Capital requirement; Default probability; Business cycle; Procyclicality;