Stock price forecasting has always been a subject of research given its importance in the macroeconomics of a nation. It is tough to write down the future values of stocks using a specific set of equations. Numerous factors come into the picture when we talk about predicting the future price of...

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms' DD to their real world PD. Since changes in the DD depend on a handful of parameters, the mapping easily accommodates shocks arising from quantitative...

Using a structural model of default, we construct a measure of systemic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. The systemic default measure spikes during recession...