Considering correlations between entries of credit portfolio is an important objective when estimating credit risk. This paper aims to construct a multivariate model of credit losses examining a portfolio composed of loans to a set of kinds of business. The paper also introduces the method of...

The article presents an empirical analysis of the interaction between market power of Russian banks and their resistance to credit risk during 2004Q1–2011Q2. We employ individual concentration index of banks in different asset markets (structural measure) and the Lerner index (unstructured...

This paper reviews the theory of Credit Default Swaps (CDS), the main characteristics of the CDS market, and how to estimate the non-default component of the yield spreads as the basis between the actual CDS premium and the hypothetical CDS premium implied by bond yields. We then analyze the...