Traders in bonds and credit default swaps are bombarded with information on the default probabilities implied by credit spreads using a simple ratio. This ratio predicts that the credit spread will be ...

CreditVantage is pleased to announce the launch of the CRS Corporate PD Model, its new probability of default (PD) tool. Initially the model will be applicable for North America with coverage of ...

A major advancement in risk management among large financial institutions has been the development of internal risk models. The models encompass institutions’ procedures and techniques for assessing ...

Kamakura’s approach to credit risk centres around innovative data analysis. This, and the wealth of data at its disposal, offers more accurate default probability reports and fiscal predictions ...

The assessment of default risk is also critical in the valuation of corporate bonds and credit derivatives such as basket-default swaps. There is an important distinction between default risk under ...

In the past few years, there have been several developments in the field of modeling the credit risk in banks’ commercial loan portfolios. Credit risk is essentially the possibility that a bank’s loan ...

This article was written by Jerome Barkate, Nakul Nair, Zane Van Dusen, and Scott Coulter. We are witnessing a remarkable period in the credit markets. Following years of accommodative monetary ...

How do you manage credit and counterparty risk in this volatile and uncertain environment? That’s the question on every risk manager’s mind, as bankruptcies from COVID-19 and the subsequent economic ...

One of the objections we've heard from banks' internal and external validators and the Federal Reserve during the last Comprehensive Capital Analysis and Review is that stress-testing models need to ...