This paper addresses the building of obligor-level hazard rate corporate probability of default models for stress testing, departing from the predominant practice in wholesale credit modeling of ...
This paper introduces a credit portfolio framework that allows for dependencies between default probabilities, secured and unsecured recovery rates and exposures at default (EADs). The overall ...
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’ ...
Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. The blue line is the firm's one year default probability. The yellow line is the annualized one month default ...
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