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Correlations and Business Cycles of Credit Risk : Evidence from Bankruptcies in Germany
Rösch, Daniel - 2013
A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on …
Persistent link: https://www.econbiz.de/10013073402
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Rating migration and bond valuation : a historical interest rate and default probability term structures
Barnard, Brian - In: Expert journal of finance 6 (2018) 1, pp. 16-39
Persistent link: https://www.econbiz.de/10012053529
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Rating migration and bond valuation : decomposing rating migration matrices from market data via default probability term structures
Barnard, Brian - In: Expert journal of finance 5 (2017), pp. 49-72
Persistent link: https://www.econbiz.de/10011749658
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Bond Valuation : Modelling Downgrade Risk and Default Risk Based on Rating Migration Variation As Uncertainty Over the Investment Horizon Through Optimization
Barnard, Brian - 2019
measured empirically. The study extends reduced form bond valuation models based on rating migration (matrices), by allowing … searching the minimum and maximum possible price, through optimization. The study models bond value of individual issues, as … well as portfolios. The cost of downgrade or default is delineated, by calculating possible future bond or portfolio prices …
Persistent link: https://www.econbiz.de/10012861872
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The regime-switching structural default risk model
Milidonis, Andreas; Chisholm, Kevin - In: Risks : open access journal 12 (2024) 3, pp. 1-33
We develop the regime-switching default risk (RSDR) model as a generalization of Merton's default risk (MDR) model. The RSDR model supports an expanded range of asset probability density functions. First, we show using simulation that the RSDR model incorporates sudden changes in asset values...
Persistent link: https://www.econbiz.de/10014497430
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Correlated defaults, incomplete information, and the term structure of credit spreads
Giesecke, Kay (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001639703
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Mortgages : estimating default correlation and forecasting default risk
Neumann, Tobias - 2018
Persistent link: https://www.econbiz.de/10011914364
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The Informational Content of Credit Ratings and Cyclical Patterns of Default Rates
Roesch, Daniel - 2013
With the New Basle Capital Accord banks' capital requirements are determined with risk weights based on internal and external ratings and probabilities of default (PD's). PD's are mostly estimated from historical default rates. In recent working papers the Basle Committee on Banking Supervision...
Persistent link: https://www.econbiz.de/10013073399
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A Cyclical Model of Multiple-Horizon Credit Rating Transitions and Default
Metz, Albert - 2007
We estimate a model of natural default probabilities conditional on credit ratings and macroeconomic drivers. The output is an issuer-specific expected default rate at variable horizons, which can be combined to form an expected default rate for a given portfolio of rated credits. This permits...
Persistent link: https://www.econbiz.de/10014049847
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Bankruptcy regime change and credit risk premium on corporate bonds : evidence from the indian economy
Sengupta, Rajeswari; Vardhan, Harsh - 2023
Persistent link: https://www.econbiz.de/10013531305