Quality control for structural credit risk models
dc.contributor.author | Andreou, Elena | en |
dc.contributor.author | Ghysels, Eric | en |
dc.creator | Andreou, Elena | en |
dc.creator | Ghysels, Eric | en |
dc.date.accessioned | 2019-05-03T05:21:46Z | |
dc.date.available | 2019-05-03T05:21:46Z | |
dc.date.issued | 2008 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/47080 | |
dc.description.abstract | Over the last four decades, a large number of structural models have been developed to estimate and price credit risk. The focus of the paper is on a neglected issue pertaining to fundamental shifts in the structural parameters governing default. We propose formal quality control procedures that allow risk managers to monitor fundamental shifts in the structural parameters of credit risk models. The procedures are sequential - hence apply in real time. The basic ingredients are the key processes used in credit risk analysis, such as most prominently the Merton distance to default process as well as financial returns. Moreover, while we propose different monitoring processes, we also show that one particular process is optimal in terms of minimal detection time of a break in the drift process and relates to the Radon-Nikodym derivative for a change of measure. © 2008 Elsevier B.V. All rights reserved. | en |
dc.language.iso | eng | en |
dc.source | Journal of Econometrics | en |
dc.subject | Risk assessment | en |
dc.subject | Change of measure | en |
dc.subject | Control procedures | en |
dc.subject | Credit risk analysis | en |
dc.subject | Credit risk models | en |
dc.subject | Credit risks | en |
dc.subject | Customer satisfaction | en |
dc.subject | Drift processes | en |
dc.subject | Financial returns | en |
dc.subject | Industrial engineering | en |
dc.subject | Key processes | en |
dc.subject | Minimal detection | en |
dc.subject | Model structures | en |
dc.subject | Monitoring processes | en |
dc.subject | Process engineering | en |
dc.subject | Quality assurance | en |
dc.subject | Quality control | en |
dc.subject | Quality function deployment | en |
dc.subject | Radon | en |
dc.subject | Radon-Nikodym derivatives | en |
dc.subject | Real time | en |
dc.subject | Risk analysis | en |
dc.subject | Risk managers | en |
dc.subject | Risk perception | en |
dc.subject | Safety factor | en |
dc.subject | Sequential tests | en |
dc.subject | Structural change | en |
dc.subject | Structural modeling | en |
dc.subject | Structural parameters | en |
dc.subject | Total quality management | en |
dc.title | Quality control for structural credit risk models | en |
dc.type | info:eu-repo/semantics/article | |
dc.identifier.doi | 10.1016/j.jeconom.2008.08.013 | |
dc.description.volume | 146 | |
dc.description.startingpage | 364 | |
dc.description.endingpage | 375 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |
dc.description.totalnumpages | 364-375 |
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