Purpose – This paper is a first attempt to empirically calibrate the default and asset correlation for large companies in India and elaborate its implications for credit risk capital estimation for a bank. Design/methodology/approach – The authors estimate default probabilities and default...

Purpose – The purpose of this article is to discuss a Black-Scholes-Merton (BSM)-based market approach to quantify the default risk of publicly-listed individual companies. Design/methodology/approach – Using the contingent claim approach, a framework is presented to optimally use stock...

Purpose – The purpose of this article is to discuss a Black‐Scholes‐Merton (BSM)‐based market approach to quantify the default risk of publicly‐listed individual companies. Design/methodology/approach – Using the contingent claim approach, a framework is presented to optimally use...

Purpose – This paper is a first attempt to empirically calibrate the default and asset correlation for large companies in India and elaborate its implications for credit risk capital estimation for a bank. Design/methodology/approach – The authors estimate default probabilities and default...