When borrowers default or fail to repay the lenders (banks), default–linked risks-so called credit risks do emerge. Such risks are critical to several agents like creditors, borrowing firms, and governments alike. As such, financial engineers have been putting in place some scientific...

We evaluate the relative performance of logistic credit risk models that were selected by means of standard stepwise model selection methods and average" models obtained by Bayesian model averaging (BMA). Our bootstrap analysis shows that BMA should be considered as an alternative to the...

Background: Supply chain finance (SCF) is a series of financial solutions provided by financial institutions to suppliers and customers facing demands on their working capital. As a systematic arrangement, SCF utilizes the authenticity of the trade between (SMEs) and their “counterparties”,...

This paper explores the sources of counterparty risk in material supply relationships. Using long-term supply contracts collected from SEC filings, we test whether three sources of counterparty risk — financial exposure, product quality risk, and redeployability risk — are priced in the...