In this paper we use a reduced form model for the analysis of Portfolio Credit Risk. For this purpose, we fit a Dynamic … of financial distressful events. In a second stage of the analysis, we find that reduced form Portfolio Credit Risk … Basel 2. Moreover, the direct method of forecasting gives the smallest Portfolio Credit Risk measures. Finally, when using …

assessments of default risk. We find that these frictions decrease the usefulness of equity-market variables for identifying … improves the accuracy of default-risk assessments in the presence of pessimistic-trading frictions, particularly where a …-trading frictions is a reduction in the accuracy of default-risk assessments based on publicly available sources of information. Using …

, whilst removing credit risk transmission, systematically increase default risk …

to represent the compensation for default risk exposure. In this paper we show that this default premium is seriously … insensitive to market-wide changes in default risk. These maturity and quality biases seriously limit the use of the Ibbotson … default premium series in empirical research, because instead of reflecting pure default risk, it also (negatively) reflects …