Traders in bonds and credit default swaps are bombarded with information on the default probabilities implied by credit spreads using a simple ratio. This ratio predicts that the credit spread will be ...
CreditVantage is pleased to announce the launch of the CRS Corporate PD Model, its new probability of default (PD) tool. Initially the model will be applicable for North America with coverage of ...
The BIS indicated in July 2020 an unprecedented rise in default risk correlation as a result of pandemics-induced credit risks’ accumulation. A third of the world banking assets credit risk ...
WASHINGTON — In response to a spate of municipal bankruptcies and ongoing fiscal challenges at the local level, the California treasurer’s office has embarked on a project aimed at predicting cities’ ...
Structural models of default are widely used to analyze corporate bond spreads, but have generally been unable to explain why risk premiums are as high as they are. This credit spread puzzle can be ...
The Kamakura Risk Information Services version 5.0 Jarrow-Chava reduced form default probability model (abbreviated KDP-JC5) makes default predictions using a sophisticated combination of financial ...
Credit unions have long been in the business of managing credit risk, so it comes as no surprise that innovative institutions are finding better ways to use data to perform risk assessments. A ...
The assessment of default risk is also critical in the valuation of corporate bonds and credit derivatives such as basket-default swaps. There is an important distinction between default risk under ...
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