This paper addresses the building of obligor-level hazard rate corporate probability of default models for stress testing, departing from the predominant practice in wholesale credit modeling of ...
This paper presents a backtesting framework for a probability of default (PD) model, assuming that the latter is calibrated to both point-in-time (PIT) and through-the-cycle (TTC) levels. We claim ...
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 ...
WASHINGTON — In response to a spate of municipal bankruptcies and ongoing fiscal challenges at the local level, the California treasurer’s office has embarked on a project aimed at predicting cities’ ...
Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. The blue line is the firm's one year default probability. The yellow line is the annualized one month default ...
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 ...
Geopolitical tensions are forcing reassessment of ECL assumptions under IFRS 9. The key takeaway is that forward-looking risk ...
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