This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
This issue covers a range of topics, including: credit mismeasurement, backtesting methodology, stress testing and commodity risk model validation.
The authors of this paper contend that recent evidence indicates that benchmarks have, over the last eleven years, exaggerated default risk for nonfinancial corporate entities.
Regulators argue a backstop is needed to avoid too-low modelled numbers
The simple link from default to LGD
In this issue of The Journal of Credit Risk we present three research papers. Our first paper is "Valuation differences between credit default swap and corporate bond markets" by Oliver Entrop, Richard Schiemert and Marco Wilkens...
Systematic risk factors redefined