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 ...

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 ...

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 ...

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 ...

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 ...

Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. The blue line is the banking subsidiary's one year default probability using ...

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 ...

One of the objections we've heard from banks' internal and external validators and the Federal Reserve during the last Comprehensive Capital Analysis and Review is that stress-testing models need to ...

How do you manage credit and counterparty risk in this volatile and uncertain environment? That’s the question on every risk manager’s mind, as bankruptcies from COVID-19 and the subsequent economic ...