Nan Guo
Nan Guo is the head of the quantitative research team in China Bond Rating Company (CBR) in Beijing, China. He has lead the build of corporate rating and structural finance rating models at CBR. His areas of expertise are credit risk modeling, risk measure, and portfolio risk management. He holds a Ph.D. degree in Statistics from Peking University.
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Articles by Nan Guo
Stressed distance to default and default risk
The authors propose a stressed version of distance to default to measure time-varying corporate default risk in the event of a systematic stress scenario.