Zobrazeno 1 - 10
of 15
pro vyhledávání: '"Bogie Ozdemir"'
Autor:
Bogie Ozdemir, Emma Huang
Publikováno v:
The Journal of Risk Model Validation.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0d550155c38aa2e03ca915691f64ce5b
https://doi.org/10.21314/jrmv.2021.008
https://doi.org/10.21314/jrmv.2021.008
Autor:
Bogie Ozdemir, Peter Miu
Publikováno v:
The Journal of Credit Risk. 13:53-83
Banks around the globe are implementing International Financial Reporting Standard 9 (IFRS 9), which is a considerable effort. A key element of IFRS 9 is a forward-looking “expected loss” impairment model, which is a significant shift from the in
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6498ac6e2c8b43b96838ca23ad45d006
https://doi.org/10.21314/jcr.2017.224
https://doi.org/10.21314/jcr.2017.224
Publikováno v:
Journal of Financial Services Research. 50:243-273
We examine two interrelated issues in risk-adjusted return on capital performance measurement: estimating hurdle rates and allocating capital to debt instruments in a portfolio. We consider a methodology to differentiate hurdle rates for individual d
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c9c0ef4cb6ed79ff0a8bcf1ad98c2f8f
https://doi.org/10.1007/s10693-015-0221-2
https://doi.org/10.1007/s10693-015-0221-2
Publikováno v:
Journal of Financial Intermediation. 21:123-150
We investigate whether the spread of corporate debt contacts can be explained by their ultimate recovery rates. Using the actual realized recovery rates of defaulted debt instruments issued in the US from 1962 to 2007, we find that recovery rate is r
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::620fe9d4d8c557b97b74db9afa6ee69a
https://doi.org/10.1016/j.jfi.2011.07.001
https://doi.org/10.1016/j.jfi.2011.07.001
Autor:
Bogie Ozdemir, Peter Miu
Publikováno v:
The Journal of Risk Model Validation. 4:3-47
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7cff539fdda413189fe2466e720aa9be
https://doi.org/10.21314/jrmv.2010.065
https://doi.org/10.21314/jrmv.2010.065
Autor:
Bogie Ozdemir, Peter Miu
Publikováno v:
The Journal of Risk Model Validation. 3:3-38
Basel II implementation requires the estimations of probability of default (PD) and migration rate under hypothetical or historically observed stress scenarios. Typically, financial institutions first forecast selected macroeconomic variables under t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0963883dfd75ed9010950a70ebe4672b
https://doi.org/10.21314/jrmv.2009.048
https://doi.org/10.21314/jrmv.2009.048
Autor:
Bogie Ozdemir, Emma Huang
Publikováno v:
The Journal of Risk Model Validation.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6d3431151a4bf98549825bd1636d5d4c
https://doi.org/10.21314/jrmv.2016.161
https://doi.org/10.21314/jrmv.2016.161
Autor:
Peter Miu, Bogie Ozdemir
Publikováno v:
SSRN Electronic Journal.
Banks around the globe are implementing IFRS 9 which is a considerable effort. A key element of IFRS 9 is a forward-looking “expected loss” impairment model, which is a significant shift from the current incurred loss model. In this paper, we exa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f545ea7fafc5889e939a21df42bd4e2b
https://doi.org/10.2139/ssrn.2819101
https://doi.org/10.2139/ssrn.2819101
Autor:
Bogie Ozdemir, Peter Miu
Publikováno v:
The Journal of Credit Risk. 2:43-68
Basel II requires that banks use downturn loss given default (LGD) estimates in regulatory capital calculations, citing the fact that the probability of default (PD) and LGD correlations are not captured. We show that the lack of correlation can be t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b1b885353e532354182220d1bc8973a6
https://doi.org/10.21314/jcr.2006.037
https://doi.org/10.21314/jcr.2006.037