The majority of industry credit portfolio risk models, as well as recent scientific results, are based on isolated modules for default probabilities and recoveries in the event of default. This paper shows that these common methods lead to various econometric drawbacks when the parameters are...

This paper analyzes the sensitivity to systematic credit risk and pricing in fixed income instruments and compares corporate bonds and asset securitizations. The paper finds cross-sectional variation of systematic credit risk given the same credit rating and a market premium for the systematic...

This paper analyzes the level and cyclicality of regulatory bank capital for asset portfolio securitizations in relation to the cyclicality of capital requirements for the underlying loan portfolio as under Basel II/III. We find that the cyclicality of capital requirements is higher for (i)...

Correlations are the main drivers for credit portfolio risk and constitute a Major element in pricing credit derivatives such as synthetic single-tranche collateralized debt obligation swaps. This paper suggests a dynamic panel regression Approach to model and forecast implied correlations....