This paper presents a backtesting framework for a probability of default (PD) model, assuming that the latter is calibrated to both point-in-time (PIT) and through-the-cycle (TTC) levels. We claim ...
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 ...
A major advancement in risk management among large financial institutions has been the development of internal risk models. The models encompass institutions’ procedures and techniques for assessing ...
NEW YORK--(BUSINESS WIRE)-- Moody's Analytics, a leader in risk measurement and management, today announced the release of an enhanced version of RiskCalc™ Plus, its private-firm probability of ...
Kamakura’s approach to credit risk centres around innovative data analysis. This, and the wealth of data at its disposal, offers more accurate default probability reports and fiscal predictions ...
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 ...
In the paper we study dynamics of the arbitrage prices of credit default swaps within a hazard process model of credit risk. We derive these dynamics without postulating that the immersion property is ...
This article was written by Jerome Barkate, Nakul Nair, Zane Van Dusen, and Scott Coulter. We are witnessing a remarkable period in the credit markets. Following years of accommodative monetary ...
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