This paper uses survival analysis as a tool to assess credit risk in loan portfolios within the framework of the Basel Internal Ratings-Based (IRB) approach. By modeling the time to default using survival functions, the methodology allows for the estimation of default probabilities and the...

This paper studies the joint distribution of the default and prepayment losses for a large portfolio of loans, based on a bottom-up approach. The repayment behaviors of loans in the portfolio are determined by both systematic and idiosyncratic risk factors and are conditionally independent given...