We are experiencing dynamic changes in the interest and concern with credit risk management despite historically low default rates and losses in the loan and corporate bond markets. The reasons are that lending institutions are increasingly comfortable with transacting their assets in...

In 2010, the world’s focus on the global financial crisis shifted from financial markets and institutions to sovereign debt, especially in Europe. This has motivated a re-examination of techniques and traditional indicators to assess the health of individual countries. Since the potential...

This paper provides a synthesis of the theoretical literature on financial distress. It employs a two-state framework, which more clearly captures the generalizations of the more complex models. The equation systems that are derived permit the development of a series of examples that convey the...

This paper analyzes the association between default and recovery rates on credit assets and seeks to empirically explain this critical relationship. We examine recovery rates on corporate bond defaults over the period 1982–2002. Our econometric univariate and multivariate models explain a...

This paper analyses the impact of various assumptions about the association between aggregate default probabilities and the loss given default on bank loans and corporate bonds, and seeks to empirically explain this critical relationship. Moreover, it simulates the effects of this relationship...