This paper investigates one main of credit derivatives instruments, known as credit default swaps. CDS is very popular instruments in the credit market which is trading by governments, firms, investors. Credit default swaps, is contracted between two parties for a one party payment small amount...

This paper examines the effects of monetary policy uncertainty (MPU) on China's banks' credit risks and China's macroeconomic fluctuations. By incorporating the stochastic volatility into the quantity-based monetary policy rule, we provide a specific measure for China's MPU through Bayesian MCMC...

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

This work presents a theoretical and empirical evaluation of the Anderson-Darling test when the sample size is limited. The test can be applied in order to back-test the risk factor dynamics in the context of counterparty credit risk modelling. We show the limits of this test when back-testing...

In this article, a risk-adjusted return on capital (RAROC) valuation scheme for loans is derived. The critical assumption throughout the article is that no market information on a borrower's credit quality like bond or CDS (Credit Default Swap) spreads is available. Therefore, market-based...