The CreditRisk+ model launched by CSFB in 1997 is widely used by practitioners in the banking sector as a simple means for the quantification of credit risk, primarily of the loan book. We present an alternative numerical recursion scheme for CreditRisk+, equivalent to an algorithm recently...

In order to incentivize stronger issuer due diligence effort, European and U.S. authorities are amending securitization-related regu- lations to force issuers to retain an economic interest in the securitization products they issue. This paper contributes to the process by exploring the...

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...