this approximation for several hypothetical bank portfolios. The formula seems a meaningful starting point for benchmarking …

We study the feasibility and benefits of implementing an across-the-curve credit spread index for the Eurozone. We …

This paper explores alternative forecast approaches for mortgage credit risk for forward periods of up to seven years … are significant in explaining credit risk over forward periods. Time variation may come through the ageing and forward …

This paper presents a benchmarking model for validation of default probabilities of listed companies for Basel II … purposes. The model is based on the recent studies on the predictive capability of structural credit risk models. Benchmark … rates reported by rating agencies. The empirical results show that the benchmarking model has adequate discriminatory power …