In this paper, we propose Vasicek-type models for estimating portfolio-level probability of default (PD). With these Vasicek models, asset correlation and long-run PD (LRPD) for a risk-homogeneous ...
Basel II requires that banks use downturn loss given default (LGD) estimates in regulatory capital calculations, citing the fact that the probability of default (PD) and LGD correlations are not ...
This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic ...
An icon in the shape of a lightning bolt. Impact Link What is the mathematical likelihood that a sovereign will default? Citi's Investment and Research team thinks they have a pretty good answer. A ...
The credit quality of an entity is essential information that reflects that entity’s financial health and its ability to meet debt obligations. Credit quality can be expressed as a credit score, but ...
Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...
NEW YORK--(BUSINESS WIRE)--Moody’s Analytics, a leader in credit risk measurement and management, today announced Through-the-Cycle EDF™ (Expected Default Frequency) measure, a quantitatively derived ...
Betsy began her career in international finance and it has since grown into a comprehensive approach to journalism as she's been able to tap into that experience along with her time spent in academia ...
Since the financial crisis of 2008, financial services firms have advanced their internal credit risk management capabilities as part of a substantial evolution in risk management among regulators, ...
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