Purpose – To implement the model described in the companion paper, “Pricing credit risk through equity options … performing relative‐value analysis between the equity options and the credit markets by using real market data.  …

additional significant information in assessing the real world credit quality of a firm in a multifactor model Findings – From …

in India and elaborate its implications for credit risk capital estimation for a bank. Design/methodology/approach – The … market like India and demonstrate its implications on the estimation of credit risk capital.  …

Purpose – The implementation of credit risk models has largely relied either on the use of historical default … dimensional credit derivatives is also explored. Design/methodology/approach – Copula functions are used in order to capture … Gaussian one. This should be important for those who resort to copulas in credit derivative pricing. Originality/value – As far …

: reinsurance, industry loss warranties, catastrophe derivatives, and insurance‐linked securities. Finally, how the credit crisis … the credit crisis. Meanwhile, disparities between the relative costs and benefits of alternative sources of catastrophe …

Purpose – The paper aims to present a framework for modeling defaultable securities and credit derivatives which allows … for dependence between market risk factors and credit risk. Design/methodology/approach – The default event is modeled … using the Cox process when the stochastic intensity represents the credit spread. A method of one‐sided risk approach is …

investigates the use of credit by gamblers/investors as a means of increasing their expected survival time and thus their … likelihood of winning. The paper considers a strategy in which a gambler/investor engages in bet doubling and uses credit to … credit that will make it possible for a gambler/investor to become a winner with an arbitrarily high degree of probability …

. Findings – It is found that companies are more likely to minimize losses and maximize profits if they can obtain credit at a … positive profits. The corollary lesson is that credit is valuable, and having substantial credit obtainable at low rates is so …

insufficient to meet fixed financial obligations. The purpose of this paper is to provide a prescriptive credit solution for small … structured credit product with an imbedded option can reduce or eliminate financial risks by providing payouts that decrease the … of a risk‐contingent credit product that is tied to primary markets and simple to implement. In this context, risk …