The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...

The global economic crisis that appeared in 2008, outside the consideration for its tremendous effects on markets and people, has shed light on various issues. Most notably, the lack of transparency and honesty amongst actors of the finance sector played a critical role in the demise of...

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be emphasized in each case. We build PD models using a long...

In the existing studies devoted to predicting bankruptcy, the authors of such models only used book measures. Considering the fact that the evolution of corporate measure efficiency (in addition to book measures) brought into existence and exposed the importance of cash measures, market...