В статье предложено использовать метод моделей ARIMA для прогнозирования кумулятивной вероятности дефолта. В ходе проведенных исследований было установлено, что...

The paper evaluates how increases in banks’ and nonfinancial corporates’ default risk are transmitted in the global economy, using in a vector autoregression model for 30 advanced and emerging economies for the period from January 1996 to December 2008. The results point to two-way...

This paper presents a new approach for analysing the recent development of EMU sovereign bond spreads. Based on a GARCH-in-mean model originally used in the exchange rate target zone literature, spreads are decomposed into a risk premium, an expected loss component and a liquidity premium....

The article presents a survey of the principal quantitative tools adopted by the major financial institutions in the credit market, pointing out their limits and new directions.

This paper shows that the use of a time-dependant barrier in a structural model improve its flexibility because it allows to incorporate, as input, the probability of default. The main result achieved is the assessment that the default barrier is, indeed,characterized by a non flat structure....

In this study we try to find that whether markets take into account the phenomenon of Too Big to Fail. With the help of CDS market data, which reflects the risk, markets attribute on banks, we calculate the default probabilities of banks in one, two, and three years. Then we regress these...

This paper develops an optimization model that describes the decision process of a representative commercial bank in an uncertain environment. In the proposed model the magnitude of deposits and bank loans are driven by diffusion stochastic processes. Moreover, the model considers instant...

This paper argues that the reduced-form jump diffusion model may not be appropriate for credit risk modelling. To correctly value hybrid defaultable financial instruments, e.g., convertible bonds, we present a new framework that relies on the probability distribution of a default jump rather...

This paper examines the effects of a person’s past financial characteristics on his likelihood to default in ex-post loan performance using both Probit and a semiparametric single-index estimator proposed by Klein and Spady (1993). The data used in the paper are a sample of individual loans...