The DRSK public model estimates forward-looking real-world default probabilities for publicly traded firms. The model also assigns credit grades based on the estimated default probabilities. The product covers firms in all regions and sectors of operation for which the necessary data is...

The DRSK private firm model produces estimates of real-world default probabilities (DPs) for private companies. The product covers all firms for which the requisite data is available, providing point in time DP term structures for about 500,000 private firms globally.This year, we are...

We examine the relationship between CDS spreads and annual report readability in this paper. Our results suggest that annual report readability is negatively related to CDS spreads. Furthermore, on the information supply side, the effect of readability on CDS spreads is more concentrated on...

We compared the predictive performance of a series of machine learning and traditional methods for monthly CDS spreads, using firms' accounting-based, market-based and macroeconomics variables for a time period of 2006 to 2016. We find that ensemble machine learning methods (Bagging, Gradient...

We compared the predictive performance of a series of machine learning and traditional methods for monthly CDS spreads, using firms' accounting-based, market-based and macroeconomics variables for a time period of 2006 to 2016. We find that ensemble machine learning methods (Bagging, Gradient...

In this paper, using newly available CDS positions data compiled from DTCC and the supply chain hierarchical position obtained from networking methodology, we examine whether and how investors can use CDS contracts to manage the heightened operational risk due to upstream supply chain...