Zobrazeno 1 - 6
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pro vyhledávání: '"Daniel Tillich"'
Autor:
Daniel Tillich
Publikováno v:
Economic Quality Control. 31:1-10
In credit risk, debtors with different creditworthiness are divided into rating classes. One problem is to define the borders of the rating classes. A natural way to estimate these breakpoints from default observations comes out of the field of chang
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d16b9903b4cc9d99ee677ab1b6f2df6f
https://doi.org/10.1515/eqc-2015-0006
https://doi.org/10.1515/eqc-2015-0006
Autor:
Dietmar Ferger, Daniel Tillich
Publikováno v:
Applied Stochastic Models in Business and Industry. 31:762-781
Let Y = mX + e be a regression model with a dichotomous output Y and a one-step regression function m. In the literature, estimators for the three parameters of m, that is, the breakpoint i¾? and the levels a and b, are proposed for independent and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::588855d3fdcd199615db1d57e6815cd3
https://doi.org/10.1002/asmb.2089
https://doi.org/10.1002/asmb.2089
Autor:
Daniel Tillich
Publikováno v:
AStA Wirtschafts- und Sozialstatistisches Archiv. 5:59-76
Zur Bewertung des Risikos von Tranchen eines Kreditportfolios existiert eine Vielzahl von Maszahlen. Problematisch ist, dass sich fur die einzelnen Konzepte meist noch keine einheitliche Bezeichnung herausgebildet hat. Auch stehen gleiche Bezeichnung
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d2787495170700f309224e35bffdd106
https://doi.org/10.1007/s11943-011-0095-1
https://doi.org/10.1007/s11943-011-0095-1
Publikováno v:
The Journal of Risk Model Validation. 4:49-69
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::12165d3070806fe41999b3d2c5f654a9
https://doi.org/10.21314/jrmv.2010.051
https://doi.org/10.21314/jrmv.2010.051
Autor:
Daniel Tillich, Christoph Lehmann
Publikováno v:
The Journal of Risk Model Validation.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::74cbabb98a398f95cde8331868467ade
https://doi.org/10.21314/jrmv.2016.159
https://doi.org/10.21314/jrmv.2016.159
Autor:
Daniel Tillich, Christoph Lehmann
Publikováno v:
Operations Research Proceedings ISBN: 9783319286952
OR
OR
Quantifying credit risk with default probabilities is a standard technique for financial institutes, investors or rating agencies. To get a higher precision of default probabilities, one idea is the aggregation of different available ratings (i.e. de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::057b402a426852700f0690e75a7e5873
https://doi.org/10.1007/978-3-319-28697-6_50
https://doi.org/10.1007/978-3-319-28697-6_50
