A comparative analysis of current credit risk models
By M. Crouhy, D. Galai, Robert M. Mark. 2000
1,037 citations recorded by the source corpus.
Subfields: Finance
View Paper: https://www.semanticscholar.org/paper/e86f69e8724279fbb89f8420dfe279bddad9c00d
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In Finance
- C. Borio
- Alexander J. McNeil
- Rüdiger Frey
- Anthony Saunders
- Linda Allen
- Philippe Jorion
- Philip W. Lowe
- Craig Furfine
Citations in the corpus
- Credit Risk Drivers: Evaluating the Contribution of Firm Level Information and of Macroeconomic Dynamics (2009, neutral): “Younger firms should be more sensitive to external shocks and should be expected to show higher bankruptcy probabilities, as argued by Eklund et al. (2001), for instance. In turn, Shumway (2001) finds no evidence of duration dependence in bankruptcy probabilities (firm age is never statistically sig”
- Predicting corporate bankruptcy: where we stand? (2006, background): “restrict their review to empirical applications of neural networks models while Crouhy et al. (2000)”
- Risk and risk management in management accounting and control (2013, background): “While there has been significant attention in the accounting literature around the financial and technical aspects of risk management (e.g. Crouhy et al., 2000; Langfield-5 Smith, 2008; Stulz, 1996), little attention has been paid to the actual management of risk and the effects of risk management…”
- Macroeconomic and Bank-Specific Determinants of Non-Performing Loans: Evidence from Nepalese Banking System (2018, background): “Crouhy, Galai, and Mark (2000) and Tanasković and Jandrić (2015) concluded that the range of non-performing loan is influenced by both a systematic risk (macroeconomic factors) and an unsystematic risk (bank-specific factors).”
- Macroeconomic Stress Testing: Preliminary Evidence for Austria (2002, neutral): “Among the models discussed in the literature, the Credit Portfolio View concept is closely related to ours as it specifies a relation between the conditional transition matrix and macroeconomic variables (see Crouhy et al., 2000, for an overview).”