We highlight important and specific characteristics of default risk and methodological implications. In a simulation … risk in conventional portfolio models of default …

Purpose: SME sector credit risk has received attention in research from several dimensions of the financial system. SME … current research on the area, we approach SME risk from perspective of FIs own risk assessments and compare it to how SME risk … rating and measurement compares to other counterparties. Design/methodology/approach: We use published risk rating data from …

We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest …-additive risk measures, for which the eligible asset is a risk-free bond, on the grounds that the general case can be reduced to the … provide a variety of finiteness and continuity results for the corresponding risk measures and apply them to risk measures …

out some key issues on how the credit risk associated to these products can be reduced and, finally, in the last section …

Corporate bond returns in the major developed economies increase with risk, as measured by maturity and ratings. From a …

The aim of this study is to analyze the impact of credit risk mitigation via margining on the optimal portfolio … credit risk mitigation by means of margining. The resulting differences in the values, with and without margining, are …

into question. We focus here on the risk issues raised by the classical market-capitalization weighting scheme. We propose … an approach to properly measure sovereign credit risk in a fixed-income portfolio. For that, we assume that CDS spreads … follow a SABR process and we derive a sovereign credit risk measure based on CDS spreads and duration of portfolio bonds. We …

The problem of credit risk management at commercial banks is solved using the stochastic dominance criteria … whose basic concept consists in management of both default risk and imputed loss risk in relation to banks …

German savings and cooperative banks use credit risk pooling transactions as a specific type of synthetic credit risk … transfer. This paper describes the effect of pro rata credit risk pooling transactions on the granularity of these banks … credit portfolio will increase if a bank participates in pro rata credit risk pooling with homogeneous credit risks. But …