This paper analyzes the influence of downside risk on defaultable bond returns. By introducing a defaultable bond …-trading model, we show that the decline in market risk tolerance and information accuracy leads to trading loss under downside … conditions. Our empirical analysis indicates that downside risk can explain a large proportion of the variation in yield spreads …

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic … of financial distressful events. In a second stage of the analysis, we find that reduced form Portfolio Credit Risk … Basel 2. Moreover, the direct method of forecasting gives the smallest Portfolio Credit Risk measures. Finally, when using …

In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic … of financial distressful events. In a second stage of the analysis, we find that reduced form Portfolio Credit Risk … Basel 2. Moreover, the direct method of forecasting gives the smallest Portfolio Credit Risk measures. Finally, when using …

assessments of default risk. We find that these frictions decrease the usefulness of equity-market variables for identifying … improves the accuracy of default-risk assessments in the presence of pessimistic-trading frictions, particularly where a …-trading frictions is a reduction in the accuracy of default-risk assessments based on publicly available sources of information. Using …