. Findings – It is found that companies are more likely to minimize losses and maximize profits if they can obtain credit at a … positive profits. The corollary lesson is that credit is valuable, and having substantial credit obtainable at low rates is so …

with real credit data showing that ignoring this modification of the two-sample test can lead to the wrong statistical …

introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and … considerable underestimation of credit risk in the Solvency II model. Originality/value – The aim of this paper is to assess model …

investigates the use of credit by gamblers/investors as a means of increasing their expected survival time and thus their … likelihood of winning. The paper considers a strategy in which a gambler/investor engages in bet doubling and uses credit to … credit that will make it possible for a gambler/investor to become a winner with an arbitrarily high degree of probability …

introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and … considerable underestimation of credit risk in the Solvency II model. Originality/value – The aim of this paper is to assess model …

investigates the use of credit by gamblers/investors as a means of increasing their expected survival time and thus their … likelihood of winning. The paper considers a strategy in which a gambler/investor engages in bet doubling and uses credit to … credit that will make it possible for a gambler/investor to become a winner with an arbitrarily high degree of probability …

in India and elaborate its implications for credit risk capital estimation for a bank. Design/methodology/approach – The … market like India and demonstrate its implications on the estimation of credit risk capital. …

Purpose – The implementation of credit risk models has largely relied either on the use of historical default … dimensional credit derivatives is also explored. Design/methodology/approach – Copula functions are used in order to capture … Gaussian one. This should be important for those who resort to copulas in credit derivative pricing. Originality/value – As far …

” probability measure implied in the equity options prices to the pricing of credit risky assets is applied. First, the equity … generally, single-name credit derivatives as “exotic” equity derivatives. Findings – Equity derivatives and credit derivatives … relative/value opportunities. Originality/value – The paper offers both a pricing tool for traded single-name credit risky …