Information on the expected changes in credit quality of obligors is contained in credit migration matrices which trace … assessment of risk on corporate credit portfolios (CreditVar) and credit derivatives pricing. We propose a factor probit model … for modeling and prediction of credit rating matrices that are assumed to be stochastic and driven by a latent factor. The …

model provides appropriate measures of credit risk of firms and evidence to support the existence of a time-varying target …

matching the maturity of assets with the at issue maturity of bonds regardless of credit quality. Finally, we find evidence … the asset substitution and adverse selection problems associated with buying bonds that are subject to credit risk. …

(1998) and Duffie and Singleton (1999), we are able to suggest which credit risk parameters are of critical interest. We … find that it appears worthwhile to parameterize credit risk since even the simplest parameterized model obtains large …

recently addressed the problem of pricing swap credit risk. We implement a recent credit risk pricing model in order to attempt … to evaluate a line of research in theoretical credit risk analysis. We compare the models analytical results to actual …

have recently addressed the problem of pricing swap credit risk, the empirical literature is almost non-existent. This is … the only study we know of that uses actual transaction data to document the effect of credit risk on swap spreads. We …

. It uses the current credit crisis as a test of the model's deficiencies. The paper suggests possible modifications to …

timeliness of payments, are a major focus of both credit risk analysis (from the trade credit perspective) and government policy … available in the USA by the leading credit reporting agencies and the predictive abilities of such scores in the UK context are … information content of the credit report or merely re-packages information represented elsewhere. We find that payment behaviour …