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Matej Jovan

Abanka d. d.

Ljubljana

Slovenia

SCHOLARLY PAPERS

3

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623

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Scholarly Papers (3)

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1.

Default Prediction with a Multiple-Spell Discrete-Time Hazard Model

Number of pages: 34 Posted: 18 Mar 2016 Last Revised: 16 May 2019
Matej Jovan and Rok Blagus
Abanka d. d. and University of Ljubljana
Downloads 256 (300,076)

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default prediction, discrete-time hazard, multiple-spell, likelihood function, consistency, credit risk

2.

The Merton Structural Model and IRB Compliance

Number of pages: 16 Posted: 06 Sep 2009
Matej Jovan
Abanka d. d.
Downloads 253 (301,349)

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Merton-KMV, IRB approach, estimation of PD, MLE

3.

Default Prediction with the Merton-Type Structural Model Based on the NIG Lévy Process

Journal of Computational and Applied Mathematics, Forthcoming
Number of pages: 21 Posted: 07 Sep 2016 Last Revised: 19 Jan 2017
Matej Jovan and Ales Ahcan
Abanka d. d. and University of Ljubljana - Faculty of Economics
Downloads 114 (626,371)

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Default Prediction; Structural Models; Lévy Process; Normal Inverse Gaussian Distribution