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 ...
Although the literature about measuring probability of default (PD) in retail credit portfolios is vast, the same thing cannot be said about measuring exposure at default (EAD). This paper aims to ...
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 new study has unveiled one of the most accurate corporate credit risk forecasting models to date. This study is a result of ...
NEW YORK--(BUSINESS WIRE)-- Moody's Analytics, a leader in risk measurement and management, today announced the release of an enhanced version of RiskCalc™ Plus, its private-firm probability of ...
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 ...
Daniel Liberto is a journalist with over 10 years of experience working with publications such as the Financial Times, The Independent, and Investors Chronicle. Chip Stapleton is a Series 7 and Series ...
Over a decade of low interest rates and increased participation by non-banks has led to record high new issuance of B3 rated issuers. 44% of new issuers were rated B3 in 2018 in comparison to 22% in ...
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