As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...

Intro -- Contents -- I. INTRODUCTION -- II. WHY DO CURRENCY MISMATCHES MATTER? -- III. THE STRUCTURAL APPROACH TO DEFAULT RISK -- IV. THE DIFUSSION MODEL -- V. THE JUMP-DIFFUSION MODEL -- VI. THE DOUBLE EXPONENTIAL JUMP-DIFFUSION MODEL -- VII. SURVEILLANCE APPLICATIONS -- VIII. CONCLUSIONS --...

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global financial crisis. In this context, financial industry representatives, regulators and academics worldwide have given new impetus to efforts to improve credit risk modeling for...

Intro -- Contents -- I. INTRODUCTION -- II. WHAT HAPPENS BEFORE A BANK DEFAULT? -- III. A UNIFIED FRAMEWORK FOR DISTANCE MEASURES : DISTANCE-TO-CAPITAL -- IV. CASE STUDY: THE RESONA AND ASHIKAGA BANKS -- V. CONCLUSIONS -- REFERENCES.

Intro -- Contents -- I. INTRODUCTION -- II. CREDIT RISK TRANSFER INSTRUMENTS: STRUCTURED CREDIT PRODUCTS AND CREDIT DERIVATIVES -- III. INTERLINKAGES ACROSS FINANCIAL INSTITUTIONS -- IV. EXPOSURE OF U. K. FINANCIAL INSTITUTIONS TO CREDIT DERIVATIVES -- V. REGULATORY AND SUPERVISORY INITIATIVES...

Intro -- Contents -- I. INTRODUCTION -- II. EQUITY RETURNS AND SYSTEMATIC DEFAULT RISK -- III. EXTRACTING SYSTEMATIC DEFAULT RISK MEASURES FROM CREDIT DERIVATIVES PRICES -- IV. IS SYSTEMATIC DEFAULT RISK PRICED IN EQUITY RETURNS? -- V. CONCLUSIONS -- REFERENCES.

Intro -- Contents -- I. INTRODUCTION -- II. MACROECONOMIC-BASED MODELS -- III. CREDIT SCORING (OR ACCOUNTING-BASED) MODELS -- IV. RATINGS-BASED MODELS -- V. HYBRID MODELS -- VI. CONCLUSIONS -- REFERENCES.

Intro -- Contents -- I. INTRODUCTION -- II. A BRIEF PRIMER ON COLLATERALIZED DEBT OBLIGATIONS -- III. DEFAULT PROBABILITY AND DEFAULT CORRELATION, IN STCDOS -- IV. IDIOSYNCRATIC AND SYSTEMIC RISK IN STCDO TRANCHES -- V. DATA AND EMPIRICAL FRAMEWORK -- VI. RESULTS -- VII. CONCLUSIONS -- REFERENCES.

Intro -- Contents -- I. MARKET-BASED DEFAULT PROBABILITIES AND FINANCIAL SURVEILLANCE -- II. CREDIT DEFAULT SWAPS -- III. BONDS -- IV. EQUITY PRICES -- V. FROM RISK-NEUTRAL PROBABILITIES TO REAL-WORLD PROBABILITIES -- VI. CONCLUSIONS -- REFERENCES.

We develop a mixed-frequency, tree-based, gradient-boosting model designed to assess the default risk of privately held firms in real time. The model uses data from publicly-traded companies to construct a probability of default (PD) function. This function integrates high-frequency,...