The DRSK public model estimates forward-looking real-world default probabilities for publicly traded firms. The model also assigns credit grades based on the estimated default probabilities. The product covers firms in all regions and sectors of operation for which the necessary data is...

The DRSK private firm model produces estimates of real-world default probabilities (DPs) for private companies. The product covers all firms for which the requisite data is available, providing point in time DP term structures for about 500,000 private firms globally.This year, we are...

We present the framework for a distressed bond model. The utility is as a proxy for calculating the risk of a distressed bond portfolio. We elaborate several possible implementations and give an example

Credit pricing models largely fall into two classes - the structural models and the reduced form models. Attempts have been made to reconcile the two approaches by adjusting filtrations to restrict information, but they are technically complicated and tend to approach filtration modification in...

This paper investigates whether mortgage loan servicers renegotiate a distressed loan differently depending on whether the loan is held on their own books or by private investors. Using the proprietary mortgage metrics database that has servicer-provided loan renegotiation details, we conduct a...

Stress testing models have been developed at various levels of data aggregation with or without risk attributes, but there is limited research on the joint impact of these modeling choices. In this paper, we investigate how data aggregation and risk attributes affect the development and...