The most fundamental aspect of credit risk models is the rating of the underlying assets and the associated expected and unexpected migration patterns. The most important migration is to default. While default rate empirical studies of corporate bonds are now commonplace, there has never been a...

In response to the global concern of the Evergrande debt crisis, we document several findings of the crisis’s contagion effect. First, although most real estate companies have strong financial fundamentals, the high default risk among large firms sends an alarming signal. Second, the spillover...

We estimate the impact of the COVID-19 pandemic on credit risk changes on a large sample of Polish SME firms. The Altman Z"-Score model, which has proven to be a powerful and robust bankruptcy prediction model across many industries and countries, is used to assess over 1,000 SMEs from seven...

This book explores theoretical and practical implications of reflecting the fair value of liabilities for insurance companies. In addition, the contributions discuss the disclosure of these values to the financial and regulatory communities and auditing firms which are actually calculating this...

Insurance companies, as well as banks and thrift institutions, have traditionally reported assets and liabilities on the basis of their amortized cost, or book value. But following the turmoil in securities markets due to highly volatile interest rate fluctuations in the 1980s and the early...