payments subject to default risk. We use a discrete risk-neutral present value model with expected payments for risk …-neutral investors and risk-free spot rates for the valuation. The expected payments include the potentiality of default by weighting … promised payments the risk-neutral default probabilities. The required risk-neutral default probabilities are derived from …

accurate and practical modelling of downgrade risk and default risk, as including rating migration uncertainty. Rather than …, as a component of default risk and downgrade risk, may very well be a significant factor of bond value. Prices calculated …

accurate and practical modeling of downgrade risk and default risk, as including rating migration uncertainty. Rather than … component of default risk and downgrade risk, may very well be a significant factor of bond value. Prices calculated in this way …

In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure …, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We … discuss different properties and representations of default risk measures via monetary risk measures, families of related tail …