This paper proposes a methodology to quantify capital charges for concentration risk when economic capital calculations are conducted within a multifactor Merton framework.
The aim of this paper is to predict future default behaviors of nonbank financial company customers using credit scores.
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.
The aim of this paper is to assess the impact of defaulting on one personal credit modality on future defaults on other modalities. Using Brazilian microdata, the authors run a logistic regression to estimate the probability of default on a given credit…
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.
In this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network …
In this paper, the authors analyze how autocorrelation affects MoM estimators commonly used in the industry to determine the latent asset return correlation, and propose a new estimator that includes correction terms to account for the autocorrelation…
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
This paper uses data on consumer credit along with generalized additive models to analyze nonlinear relationships and their effect on predicting the probability of default in the context of consumer credit scoring.
This paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
This paper proposes a latent variable credit risk model for large loan portfolios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure and a copula-dependent stochastic loss given default (LGD).
This paper considers whether the rating agency attempts to mitigate the feedback effect through its rating actions. Using Moody’s issuer ratings over 1982–2009, the paper shows that firms with greater external financing constraints are less likely to be…
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
This paper borrows concepts from measurement, test and psychometric theories to explore the issue of credit ratings in the Mexican corporate bond market.
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
This paper describes a simple model that can be used for risk management.
This paper proposes a portfolio credit risk model with random recovery rates.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
This paper focuses on the ability of accounting ratios to predict the financial distress status of a firm as defined by the law.
The authors describe a new framework for modeling collateralized exposure under an International Swaps and Derivatives Association Master Agreement with a Credit Support Annex.
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.