the impact of choosing the beta distribution on the estimation of credit Value-at-Risk. …

This paper studies times-to-default of individual firms across risk classes. Using Standard & Poor’s ratings database …

high risk issuers, i.e.,sovereign with low country wealth relative to debt level,and high litigation costs,the credit …

In this paper, we present an integrated framework for the measurement and management of market and credit risk in fixed … contribution of market and credit risk to portfolio risk and determine the possible benefits of integration. The bonds and … derivatives in the portfolio are priced using an affine term structure model where default risk is modeled with the intensity …

This paper develops a framework for analyzing the impact of macroeceomic conditions on credit risk and dynamic capital …

Much of the traditional economic theory of insurance is based on the assumption that the risk against which insurance … as a mechanism of covering risk, without any real analysis of how this insurance is paid for. However, in almost all real …-life consumer insurance, the size of the risk is itself a choice variable (the type of car to purchase, the type of employment to …