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 ...

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 ...

The Kamakura Risk Information Services version 5.0 Jarrow-Chava reduced form default probability model (abbreviated KDP-jc5) makes default predictions using a sophisticated combination of financial ...

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 ...

Financial institutions have to add a margin of conservatism of type C (MoC C) to their estimates of probability of default in order to account for the statistical uncertainty involved. European ...

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 ...

Download PDF More Formats on IMF eLibrary Order a Print Copy Create Citation Using a quantitative sovereign default model, we characterize constrained efficient borrowing by a Ramsey government that ...

NEW YORK, May 31 (Reuters) - The probability of a U.S. default has declined to its lowest since January, according to MSCI estimates, as a debt ceiling deal gets closer to the finish line. The ...