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Recent Papers |
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Default Estimation, Correlated Defaults, and Expert Information, April 2008 The Smooth Colonel Meets the Reverend (w. J. Racine), April 2008 Annual Default Rates are Probably Less Than Long-Run Average Annual Default Rates, February, 2008 Development and Validation of Credit-Scoring Models, (with H. Choi, D. Glennon and C. E. Larson), September, 2007 The Probability Approach to Default Estimation,
Risk, July 2007, p. 146-150. Reprinted in AsiaRisk, September
2007. A Simulation Estimator for Testing the Time Default Estimation for Low-Default
Portfolios, Journal of Empirical Finance, forthcoming 2008 Robust Nonnested Testing and the Demand for Money
(with H. Choi), February, Evaluating Design Choices in Economic Capital
Modeling: A Loss Function
Approach (with C. E. Larson), in Economic
Capital: A Practitioner Guide, A. Dev (ed), ch. 15. Risk Books, London 2004 Robust model selection in dynamic models with an
application to comparing predictive accuracy (with H. Choi), October,
2006 Bank Failure: Evidence from the Colombian Financial
Crisis (with J. Gomez-Gonzalez), October, 2006 A New Asymptotic Theory for
Heteroskedasticity-Autocorrelation Robust Tests (with T.
Vogelsang), Econometric Theory, 21,
1130-1164, 2005 Specification and Informational
Issues in Credit Scoring (with C. E. Larson), International Journal
of Statistics and Management Systems Economics and the Origin of the Restaurant, Cornell
Hotel and Restaurant Administration Quarterly, August 2002. |
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