We take up the question of potential conflicts between the objectives of risk management policies and those connected … risk management - banks and insurance companies in particular. In the wake of the Enron affair, various proposals have been … is now a widely accepted fact that risk management issues can give rise to conflicts of interest between heads of firms …

and develop recursive formulas for default probabilities, risk-free and risky zero-coupon bond yields as well as credit … can be explained by factors such as the possibility of default, liquidity, tax differentials and market risk. We … to explain the proportion of yield spreads caused by the risk of default in the context of a reduced form model. For this …

Whereas recent studies on revolving lines of credit suggest a positive relationship between exposure at default and … simultaneous analysis of credit line utilization and default probability on a personal loan. We model both financial instruments …. Individuals in the default state use their credit line 59% more than those in the non-default state, and full utilization of the …

An important research question examined in the credit risk literature focuses on the proportion of corporate yield … spreads attributed to default risk. This topic is reexamined in the light of the different issues associated with the … estimated default risk proportion in corporate yield spreads is highly sensitive to the ex-ante estimated term structure of …