those previously lacking access to credit, found they could borrow money to finance homes. To meet the growing demand …

This paper presents an estimation of credit quality transition matrices for commercial banks inColombia, using a …

This paper presents an estimation of credit quality transition matrices for commercial banks in Colombia, using a …

associated with the single “A” rating. The focus on the single A rating level is not accidental, as this is the credit quality … the ability of credit assessment systems to forecast future default events. Within this context the paper proposes a … simple mechanism for the comparison of the performance of major rating agencies and that of other credit assessment systems …

Banks typically determine their capital levels by separately analysing credit and interest rate risk, but the … are ignored: adding up economic capital against credit and interest rate risk derived separately provides an upper bound …

. This paper aims to resolve a part of the opaqueness surrounding credit-risk allocation to tranches that represent claims of … different seniority on a reference portfolio. In particular, this paper analyzes the allocation of credit risk to different … CDO-investors. Our findings can be used to explain major stylized facts observed in credit markets. …