they have no contractual claims to defined assets and samples of defaults are limited. A geometric version of credit spread … are used to define a measure of price sensitivity to credit risk perceptions, or credit duration, improving the ambiguity …

Empirical evidence suggests that widespread financial distress, by disrupting enforcement of credit contracts, can be … self-propagatory and adversely affect the supply of credit. We propose a unifying theory that models the interplay between … enforcement, borrower default decisions, and the provision of credit. The central tenets of our framework are the presence of …

dynamics for credit market allowing for arbitrage possibilities. Moreover, arbitrage credit bubbles for both base credit assets …We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need … and credit derivatives are explicitly computed for the market dynamics minimizing the arbitrage …

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or … issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …

the credit shift from defensive liquidity assets to mortgages, rather than the non-existing 'easy credit'. The finding … and credit risk. As current risk management treats the risks separately, such combination crashed both the shadow banking …

stressed credit markets and confirms their superior performance in explaining the behavior of Credit Default Swap rates for the …

Using a new structural model of credit risk based on the normal instead of the lognormal firm value dynamics and market … price implied asset value volatility as the model volatility input, we quantify the value of credit spreads of the four … financial crises of 2008-2009 and 2011, the maximum 5-year bank credit spread among the four largest banks was over 400 basis …

show that this increase in credit risk can be largely attributed to an increase in the rate at which new and fast …

overnight repurchase agreements (repo) and loan-level credit registry data on corporate loans. We find that borrowers on the …