We use matched, bank-level panel data on Libor submissions and credit default swaps to decompose bank-funding spreads … at several maturities into components reflecting counterparty credit risk and funding-market liquidity. To account for … longer maturities, credit risk explains much of the time variation in Libor, reflecting in part fluctuations in the degree to …

In this paper, we carry out a review of literature for both traditional and sophisticated credit assessment techniques …, with a particular focus on credit scoring which is broadly used as a costeffective credit risk management tool. The … objective of the paper is to present a set-up of an application credit-scoring model and to estimate such a model using an auto …

This annual publication provides an overview of the most important developments in global credit markets and the … regulatory landscape. It covers theoretical and empirical research on credit ratings and credit risk, and reports on recent … findings and evolutions of the Risk Management Institute's Credit Research Initiative. The ultimate objective of this …

We study the link between the probability of default implied by Credit Default Swaps (CDS) spreads and the final prices … of the defaulted bonds as established at the CDS settlement auctions. We observe that the post-default recovery rates at … the observed spreads imply markets were often “surprised†by the credit event. We find that the prices of the bonds …

's probability of default and structural models of default risk to infer the capital losses they could experience in stress scenarios …

credit activity, and heightened risk appetite—attributable to the commodity boom—are fuelling price volatility in asset …

theoretical and an empirical perspective. In recent decades, credit risk management in banks has become highly sophisticated and … banks have become more active and advanced in the management of credit risks. We identify two driving factors for risk … advanced risk management. Sector concentration in the loan market promotes credit portfolio modeling, but inhibits credit risk …

In this article, on the basis of the "cash flow at risk" approach, the system of the integrated (credit, market …

credit risk. Also, some are extensions of the model, some empirical research and performance known, others such as state …