|
|
|
|
|
Michael Jacobs, Jr.
In this study, we consider the construction of through-the-cycle (?TTC?) PD models designed for credit underwriting uses and point-in-time (?PIT?) PD models suitable for early warning uses, considering which validation elements should be emphasized in ea...
ver más
|
|
|
|
|
|
|
|
|
|
|
Monica Defend, Aleksey Min, Lorenzo Portelli, Franz Ramsauer, Francesco Sandrini and Rudi Zagst
This article considers the estimation of Approximate Dynamic Factor Models with homoscedastic, cross-sectionally correlated errors for incomplete panel data. In contrast to existing estimation approaches, the presented estimation method comprises two exp...
ver más
|
|
|
|
|
|
|
|
|
|
|
Michael Jacobs, Jr.
The Current Expected Credit Loss (CECL) revised accounting standard for credit loss provisioning is the most important change to United States (US) accounting standards in recent history. In this study, we survey and assess practices in the validation of...
ver más
|
|
|
|
|
|
|
|
|
|
|
Hokuto Ishii
This paper investigates the predictability of exchange rate changes by extracting the factors from the three-, four-, and five-factor model of the relative Nelson?Siegel class. Our empirical analysis shows that the relative spread factors are important f...
ver más
|
|
|
|
|
|
|
|
|
|
|
Shahid IQBAL,Maqbool H. SIAL
Pág. 536 - 559
JEL. E31, E47, E51, E52.
|
|
|
|
|
|
|
|
|
|
|
Rashid Sbia,Helmi Hamdi,Bedri Kamil Onur Tas,Sahel Al Rousane
Pág. 629 - 639
The aim of this paper is to analyze the effect of monetary policy on stock returns and stock return variability in the Gulf Cooperation Council (GCC) Countries namely; Bahrain, Kuwait, Oman, Qatar and Saudi Arabia (United Arab Emirates was excluded for n...
ver más
|
|
|
|
|
|
|
|
|
|
|
Harun UCAK,Ilhan OZTURK,Alper ASLAN
Pág. 956 - 959
The relationship between interest rates and inflation which is called Fisher effect has been investigated in both theoretical and empirical economics in vast literature. The contribution of this paper to the literature is to test the Fisher effect for th...
ver más
|
|
|
|
|
|