Nicholas M. Kiefer

Cornell University - Department of Economics

Professor of Economics and Statistics

490 Uris Hall

Ithaca, NY 14853-7601

United States

SCHOLARLY PAPERS

11

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SSRN CITATIONS
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Top 38,374

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10

CROSSREF CITATIONS

10

Scholarly Papers (11)

1.

Development and Validation of Credit Scoring Models

Journal of Credit Risk, Forthcoming
Number of pages: 70 Posted: 30 Jul 2008
Dennis Glennon, Nicholas M. Kiefer, C. Erik Larson and Hwan-sik Choi
Government of the United States of America - Office of the Comptroller of the Currency (OCC), Cornell University - Department of Economics, Promontory Financial Group and Purdue University - Department of Consumer Sciences & Retailing
Downloads 2,371 (7,632)

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Logistic regression, CHAID, specication testing, risk management, nonparametrics, validation

2.

Specification and Informational Issues in Credit Scoring

Number of pages: 29 Posted: 12 Jan 2007
Nicholas M. Kiefer and C. Erik Larson
Cornell University - Department of Economics and Promontory Financial Group
Downloads 514 (70,269)
Citation 2

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Logistic regression, specification testing, risk management, nonparametrics, reject inference

3.

Evaluating Design Choices in Economic Capital Modeling: A Loss Function Approach

US Treasury Office of the Comptroller of the Currency Economics Working Paper No. 2004-2
Number of pages: 14 Posted: 04 Oct 2004
Nicholas M. Kiefer and C. Erik Larson
Cornell University - Department of Economics and Promontory Financial Group
Downloads 469 (78,513)
Citation 6

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Economic Capital, Basel, Rating System, Granularity, Loss Function

4.

Bank Failure: Evidence from the Colombia Financial Crisis

CAE Working Paper No. 06-12
Number of pages: 27 Posted: 12 Jan 2007
Nicholas M. Kiefer and Jose E Gomez-Gonzalez
Cornell University - Department of Economics and Banco de la Republica
Downloads 376 (101,642)

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Financial institutions, bankruptcy, liquidation, capitalization, supervision, duration hazard function

A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transitions

Journal of Empirical Finance, Forthcoming
Number of pages: 28 Posted: 09 Aug 2006
C. Erik Larson and Nicholas M. Kiefer
Promontory Financial Group and Cornell University - Department of Economics
Downloads 125 (287,239)

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Markov, Credit Ratings, Transitions, Simulation Estimator

A Simulation Estimator for Testing the Time Homogeneity of Credit Rating Transitions

Number of pages: 30 Posted: 12 Jan 2007
Nicholas M. Kiefer and C. Erik Larson
Cornell University - Department of Economics and Promontory Financial Group
Downloads 114 (307,173)
Citation 1

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Ratings transitions, isk measurement, indirect inference, specifictation testing, risk dynamics

6.

Bank Failure: Evidence from the Colombian Financial Crisis

The International Journal of Business and Finance Research, Vol. 3, No. 2, pp. 15-31, 2009
Number of pages: 17 Posted: 05 Jul 2010
Jose E Gomez-Gonzalez and Nicholas M. Kiefer
Banco de la Republica and Cornell University - Department of Economics
Downloads 228 (171,456)
Citation 1

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Financial institutions, bankruptcy, liquidation, capitalization, supervision, duration

7.

Default Estimation for Low-Default Portfolios

Number of pages: 29 Posted: 19 Nov 2006
Nicholas M. Kiefer
Cornell University - Department of Economics
Downloads 228 (171,456)
Citation 5

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Bayesian inference, Bayesian estimation, expert information, Basel II, risk management

8.

Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy

CAE Working Paper No. 06-09
Number of pages: 49 Posted: 19 Nov 2006
Nicholas M. Kiefer and Hwan-sik Choi
Cornell University - Department of Economics and Purdue University - Department of Consumer Sciences & Retailing
Downloads 103 (327,605)

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Kullback-Leibler Information Center (KLIC), quasi-likelihood, dynamics models, fixed-b asymptotics, bootstrap method, Monte Carlo simulation

9.

Improving Robust Model Selection Tests for Dynamic Models

Econometrics Journal, Forthcoming
Number of pages: 34 Posted: 05 Feb 2010 Last Revised: 22 Feb 2010
Hwan-sik Choi and Nicholas M. Kiefer
Purdue University - Department of Consumer Sciences & Retailing and Cornell University - Department of Economics
Downloads 60 (447,158)
Citation 2

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Model Selection, Heteroskedasticity, Autocorrelation, Fixed-b Asymptotics, Bootstrap

10.

Counting Processes for Retail Default Modeling

Journal of Credit Risk, Vol. 11, No. 3, Pages 45–72, 2015
Number of pages: 28 Posted: 16 Jun 2016
Nicholas M. Kiefer and C. Erik Larson
Cornell University - Department of Economics and Promontory Financial Group
Downloads 0 (819,276)
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Survival Analysis, Hazard Functions, Censored Data, Mortgage Insurance, Risk Modeling, Martingales

11.

Layoffs and Duration Dependence in a Model of Turnover

Journal of Econometrics, Vol. 28, pp. 51-69, 1985
Posted: 17 Sep 2009
Nicholas M. Kiefer, Ken Burdett and Sunil Sharma
Cornell University - Department of Economics, University of Pennsylvania - Department of Economics and George Washington University - Elliott School of International Affairs

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