We undertake a systematic study of the univariate and multivariate properties of CDS spreads using the CDS spread time series of CDX Investment Grade index constituents from 2005 to 2009. We find that CDS spread returns appear to be stationary and exhibit positive autocorrelations,...

We derive a model for consumer loan default and credit card expenditure.The default model is based on statistical models for discrete choice, incontrast to the usual procedure of linear discriminant analysis. Themodel is then extended to incorporate the default probability in a modelof expected...

In the last few years, according to the evolution of financial markets and the enforcement of international supervisory requirements, an increasing interest has been devoted to risk integration. The original focus on individual risk estimation has been replaced by the growing prominence of...