Banks’ leverage choices represent a delicate balancing act. Credit discipline argues for more leverage, while balance …

different PD estimation methods-cohort and duration (intensity)-using twenty-two years of credit ratings data. We find that the …

Credit migration matrices are cardinal inputs to many risk management applications. Their accurate estimation is …-homogeneous—and the resulting differences, both statistically through matrix norms and economically through credit portfolio and credit … bootstrap techniques. The method can have substantial economic import: economic credit risk capital differences between economic …

In theory the potential for credit risk diversification for banks could be substantial. Portfolio diversification is … dimensions of credit risk diversification: across industry sectors and across different countries or regions. We find that full … firm-level parameter heterogeneity matters a great deal for capturing differences in simulated credit loss distributions …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different …

-French factors and additional factors thought to be particularly relevant for banks such as interest and credit variables. We show … rate and credit derivatives. Even in our broadest model, however, considerable residual variation remains, with the mean …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … through active credit portfolio management. However, if the firm risk exposures are draws from different parameter … unexpected loss or value-at-risk. The theoretical results are confirmed empirically using returns and credit ratings for firms in …