Predicting Default Rates: A Forecasting Model for Moody's Issuer-Based Default Rates

1999 ◽  
Author(s):  
Sean C Keenan ◽  
Jorge R Sobehart ◽  
David T. Hamilton
Keyword(s):  
Forecasting Model ◽  
Default Rates

scholarly journals Innovative Approach for Forecasting Corporate Default Risk

2018 ◽  
Vol 14 (2) ◽  
pp. 106-119
Author(s):  
Prashanta kumar Behera
Keyword(s):  
Default Risk ◽  
Transition Matrix ◽  
Stress Testing ◽  
Additional Data ◽  
Innovative Approach ◽  
Forecasting Model ◽  
Corporate Default ◽  
Back Testing ◽  
Default Rates ◽  
Risk Parameters

              Innovative Approach for Forecasting Corporate Default Risk        Submitted To: Journal of Global Economy                               By: Prashanta Kumar Behera, PhD                               Email: [email protected] . Ph : 91+8108932693Abstract: Present time corporate default risk parameters are dynamic in nature and understanding how these parameters change in time is a fundamental task for risk management. In this research paper I am trying to forecast for corporate default rates.  I work with historical credit migrations data to construct some time series of interest and to visualize default rates dynamics and also, I use some of the series constructed and some additional data to fit a forecasting model for corporate default rates and to shows some back testing and stress testing. A linear regression model for corporate default rates is presented but the tools and concepts described can be used in combination with other forecasting methodologies.Keywords:  Default risk, back testing, stress testing and transition matrix.

Support System for Trading in Exchange Market by Distributional Forecasting Model

Informatica ◽  
2019 ◽  
Vol 30 (1) ◽  
pp. 73-90
Author(s):  
Algirdas MAKNICKAS ◽  
Nijole MAKNICKIENE
Keyword(s):  
Support System ◽  
Forecasting Model ◽  
Exchange Market

A Study on the Establishment of ｢Gim-DSFM(Demand and Supply Forecasting Model)｣

2020 ◽  
Vol 32 (4) ◽  
pp. 165-182
Author(s):  
Heon-Dong Lee ◽  
Su-Jin Heo ◽  
Hyun-Jung Ha
Keyword(s):  
Forecasting Model ◽  
Demand And Supply
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