The rating of asset-backed securities is partly based on quantitative models for the defaults and prepayments of the assets in the pool. This quantitative approach contains a number of assumptions and estimations of input variables whose values are affected by uncertainty. The uncertainty in...

The objective of this paper is to determine whether information from equity markets, as summarized in the distance to default measure derived from Merton-MKMV, is useful for modeling and predicting bank credit ratings. We use the BankScope database and Bloomberg to build a data set comprising of...

This paper extends the existing literature on deposit insurance by proposing a new approach for the estimation of the loss distribution of a Deposit Insurance Scheme (DIS) that is based on the Basel 2 regulatory framework. In particular, we generate the distribution of banks’ losses following...