Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or … issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …

We provide a framework for the analysis of term structures of credit spreads on corporate bonds in the presence of … the characterization of conditional default probabilities, prices of default-contingent claims, and credit spreads, we … firm follow a geometric Brownian motion, we show that the term structure of credit spreads is decreasing or hump …

The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown … can be estimated from readily available equity and single-name credit derivatives market data. -- simulation ; correlated …

Credit contagion refers to the propagation of economic distress from one firm or sovereign government to another. In … this paper we model credit contagion phenomena and study the fluctuation of aggregate credit losses on large portfolios of … financial positions. The joint dynamics of firms' credit ratings is modeled by a voter process, which is well-known in the …

We discuss how to assess the performance for credit scores under the assumption that for credit data only a part of the … ratio. -- credit rating ; credit score ; discriminatory power ; sample selection ; Gini coefficient ; accuracy ratio …

In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in … Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel … empirical evidence for the effectiveness and relevance of a credit channel in Germany can be reported. -- vectorautoregressive …

Credit scoring methods aim to assess the default risk of a potential borrower. This involves typically the calculation … of a credit score and the estimation of the probability of default. One of the standard approaches is logistic … discriminant analysis, also referred to as logit model. This model maps explanatory variables for the default risk to a credit …