Working papers produced by members of the Credit Research Centre from 1997 to 2014.

Title Authors Year Sort ascending
Customer Profitability Analysis of a Colombian Microcredit Program Andreeva, Ansell and Barrios 2014
Estimating Portfolio Credit Losses in Downturns Moreira 2012
Data Frequency and Dependence Structure in Stock Markets Moreira 2012
Estimation of Joint Credit Losses Based on Poisson Processes and a Suggestion for Basel Accords Moreira 2012
Asset Correlations for Credit Card Defaults Bellotti and Crook 2010
The Effects of Health Shocks on Debt Holdings by Older American Households Crook and Hochguertel 2010
Retail Credit Stress Testing Using a Discrete Hazard Model with Macroeconomic Factors Bellotti and Crook 2010
Forecasting and Stress Testing Credit Card Default Using Dynamic Models Bellotti and Crook 2009
Loss Given Default models for UK retail credit cards Bellotti and Crook 2009
Bank Rating Assignments: Rocket Science or a Crystal Ball? International Evidence Bellotti 2009
Time Varying and Dynamic Models for Default Risk in Consumer Loans Bellotti and Crook 2009
The Effects of Credit Constraints on the Sensitivity of Household Debt to Interest Rate Changes Crook and Hochguertel 2009
Modelling and estimating Loss Given Default for credit cards Bellotti and Crook 2008
Merton models or credit scoring: modelling default of a small business Andreeva, Ansell and Lin 2007
Twenty-five years of the Taffler z-score model: does it really have predictive ability? Agarwal and Taffler 2007