We propose a simple and implementable model of credit contagion where we in-clude macro- and microstructural dependencies among the debtors within a creditportfolio. We show that, even for diversified portfolios, moderate microstructuraldependencies have already a significant impact on the tails...

Credit limit management is of paramount importance for successful short-term credit-risk management, even more so when the situation in credit and financial markets is tense. We consider a continuous-time model where the credit provider and the credit taker interact within a game-theoretic...

We consider the modelling of credit migration risk and the pricing of migrationderivatives. To construct a Point-in-Time (PIT) rating migration matrix as the underlyingvalue for derivative pricing we show first that the Affine Markov Chain models isnot sufficient to generate PIT migration...