This paper studies the valuation of credit risk for firms that own several subsidiaries or business lines. We provide simple analytical approximating expressions for probabilities of default, and for equity-debt market values, both in the case when the information is available in continuous time...

This work intend to shed some light on a new use of Phase-type distributions in credit risk, taking into account different flows of information without huge numerical calculations. We consider credit migration models with partial information and study the influence of a deficit of information on...

This paper presents a new default risk model for market risk that is consistent with the requirements put forward by the Fundamental Review of the Trading Book. In particular, the model features correlated default times and stochastic recovery rates by exploiting the observed correlation between...

Credit risk measurement and management become more important in all financial institutions in the light of the current financial crisis and the global recession. This particularly applies to most of the complex structured financing forms whose risk cannot be quantified with com-mon rating...

In this paper, we present the results of a business solution on how to measure credit and counterparty risk with the main focus on OTC derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure. We explain how we measure the exposure for each counterparty...

In this paper, we present the results of a business solution on how to measure credit and counterparty risk with the main focus on OTC derivatives. Moreover, we use this approach to include the measurement of liquidity risk exposure.We explain how we measure the exposure for each counterparty...

In this paper we address a challenging aspect that arises in the regulatory requirement of back-testing the accuracy of distributional forecasts. The latter are core to measurement and capitalization of counterparty risk for banks under the IMM (Internal Models Method). The problem is very...

Credit scoring is a rapidly expanding analytical technique used by banks and other financial institutions. Academic studies on credit scoring provide a range of classification techniques used to differentiate between good and bad borrowers. The main contribution of this paper is to introduce a...

Credit pricing models largely fall into two classes - the structural models and the reduced form models. Attempts have been made to reconcile the two approaches by adjusting filtrations to restrict information, but they are technically complicated and tend to approach filtration modification in...