This paper presents the concepts and methods used for credit risk measurement. The main objective was to explain Internal Ratings-Based Methods. The applicatin and analysis was performed on financial information for supposed business case loan, as well as a simulated banking transaction database...

We propose new specifications that explicitly account for information noise in the input data of bankruptcy hazard models. The specifications are motivated by a theory of modeling credit risk with incomplete information (Duffie and Lando [2001]). Based on over 2 million firm-months of data...

This paper is related to the growing academic literature on monetary policy and financial stability. In the first part, we propose a review of the literature on the subject, describing both theoretical and empirical models. In the second part, based on Filardo’s approach, we construct a...

This paper presents a new, intuitive but mathematically powerful model of dependent defaults and derives a general framework for pricing products whose values depend on credit correlation between the counterparty and the reference entity. The dependence framework is a natural extension of the...