George A. Christodoulakis

Manchester Business School

Crawford House

Oxford Road

Manchester, Lancashire M15 6PB

United Kingdom

SCHOLARLY PAPERS

4

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311

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Scholarly Papers (4)

1.

Markovian Credit Risk Transition Probabilities Under Non-Negativity Constraints for the Us Portfolio 1984-2004

Number of pages: 17 Posted: 08 Feb 2006
George A. Christodoulakis
Manchester Business School
Downloads 215 (139,255)

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Credit Risk, Markov Model, Monte Carlo Integration, Non-Performing Loan, Transition Probability

2.

Hubris Hypothesis and the Reciprocity of Preferences and Densities in Optimal Forecast Decisions

Number of pages: 22 Posted: 22 Nov 2006
George A. Christodoulakis
Manchester Business School
Downloads 93 (273,035)

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Asymmetric Loss, GDP Forecasting, Hubris, Optimal Forecast, Overconfidence, Reciprocity

3.

Stability Conditions for Heteroscedastic Factor Models with Conditionally Autoregressive Betas

Journal of Time Series Analysis, Vol. 32, Issue 5, pp. 482-497, 2011
Number of pages: 16 Posted: 09 Aug 2011
George A. Christodoulakis and Stephen E. Satchell
Manchester Business School and University of Cambridge - Faculty of Economics and Politics
Downloads 3 (615,766)
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Beta coefficient, evolution, factor models, forecasting, persistence, pricing, stability, stationarity, C32, C51, C53, C58, G12, G17

4.

The Robustness of Estimators in Structural Credit Loss Distributions

Journal of Credit Risk, Vol. 11, No. 2, 2015
Number of pages: 32 Posted: 15 Jun 2016
Enrique Batiz-Zuk, George A. Christodoulakis and Ser-Huang Poon
Banco de México, Manchester Business School and University of Manchester - Manchester Business School
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Basel III, credit risk, Monte Carlo, non-Gaussian distribution, skewed Student-t distribution, Vasicek loan loss distribution