In many real world applications classification models are required to be in line with domain
knowledge and to respect monotone relations between predictor variables and the target …

The application of credit risk models in Comprehensive Capital Analysis and Review and
European Banking Authority mandated regulatory macroeconomic stress testing is of …

The new guidelines for loan loss reserves, current expected credit loss (CECL), were initially
proposed so that lenders' loss reserves would be forward-looking. Some recent studies have …

The new guidelines for loan loss reserves, CECL (Current Expected Credit Loss), were
initially proposed so that lenders' loss reserves would be forward-looking. Some recent …

The aim of the thesis is to bring new insights into banks' internal credit risk estimates and
their application in estimation of credit transition matrices, which are an important part of …

A menudo, las pymes y empresas encuentran serias dificultades para obtener acceso a
financiación ajena y poder llevar a cabo su actividad. Para muchas de estas empresas, el …

This thesis is an empirical investigation of various estimation methods for the analysis of the
dynamics of credit rating matrices. More specifically, the thesis presents three maximum …

This study explores banks' internal credit risk estimates and the associated bank-sourced
transition matrixes. We empirically test the widely used Markovian property and time …

В статье рассматривается конкретный пример построения матрицы миграции Маркова
на основе данных об ипотечных кредитах и заемщиках в США, а также использование …

In the context of Basel II, credit migration matrices have become major components in credit
risk management. This thesis is an empirical investigation of various issues that arise in the …