that reflect only their credit ratings, or specifically at yields on equivalently ratedcorporate bonds. We distinguish … between credit ratings that are based on probabilities of defaultand ratings that are based on expected default losses. We … thehypothesized pricing system. Increasing the systematic risk or reducing the total risk of the bondcollateral increases the profits …

). We develop a framework to determine the effects of clearing on the credit risk of derivatives portfolio. To facilitate … our analysis, we compare the cost of credit risk of a portfolio of over-the-counter derivatives and a portfolio of similar … but cleared derivatives. We show that, under certain verifiable assumptions, the cost of credit risk of a portfolio of …

productfeatures and also in the presence of issuers’ credit risk and jump risk in the underlying. …

In this paper we present a new approach to incorporate default dependency in intensity-based default risk models. The … individual default-intensity models. The dynamics of the survival probabilities and credit spreads of individual obligors are … derived and it is shown that in situations with positive dependence, the default of one obligor causes the credit spreads of …

This paper gives a simple introduction to portfolio credit risk models of the factor model type. In factor models, the …