Traditionally, business risk management models have not taken into consideration household composition for the purposes … of credit granting or project financing in order to manage the risk of default. In this research, an improvement in the … risk management model was obtained by introducing household composition as a new exogenous variable. With the application …

This paper proposes and examines a new structural risk of default model for banks in frictional and fuzzy financial … markets. It is motivated by the need to fill the shortcomings of probability-based credit risk metric models that are … characterised by unrealistic assumptions such as crisply precise and constant risk-free rates of return. The problem investigated …

This paper describes the modelling of spread risk, in case of missing or illiquid market data, by using a subset of … good quality liquid bond/credit default swap (CDS) spread time series. The proposed method links copula simulation to the … actual historical spread dynamics. This is important when calculating credit valuation adjustment (CVA) risk charge and Value-at-Risk …