We conduct a thorough analysis on the role played by the unobserved systematic risk factor in default prediction. We … find that this latent factor outweighs the observed systematic risk factors and can substantially improve the in … systematic risk factor when simulating portfolio credit losses. However, we also find that this factor only marginally improves …

This article designs what it calls a Credit-Risk Balance Sheet (the risk being that of default by customers), a tool … which, in principle, can contribute to revealing, controlling and managing the bad debt risk arising from a companys … = Risk. Credit is granted by a company to its customer, and can be ranked by quality (we suggest the credit scoring system …

: Towards a Theory of the Credit-Risk Balance Sheet (Vallverdu, Somoza and Moya, 2006). The Balance Sheet is conceptualised on … causal credit-risk duality, that is, a true causal relationship; its characteristics, properties and its static and dynamic … structure of the Credit-Risk Balance Sheet as a consequence of a businesss dynamics in the credit area. Given the Credit-Risk …

We investigate the pricing of sovereign credit risk over the period 2008-2010 for selected advanced economies by … credit risk during the period of the recent financial crisis. …

empirischen Studie wird erstmals mit Hilfe einer Faktorenanalyse das Animal-Welfare-Verständnis konventioneller deutscher …

Estimating covariance matrices is an important part of portfolio selection, risk management, and asset pricing. This …

Estimating covariance matrices is an important part of portfolio selection, risk management, and asset pricing. This …

financial institutions (LCFIs). To estimate the multifactor latent structure, we link the market risk (the covariance of the … LCFIs' equity) to credit risk (the default probability of the CDS basket) in a coherent manner. In addition, to analyze the … relevant sources of risk. We anticipate that this approach could be of value to financial supervisors and risk managers alike. …