Analyzing the probability of sovereign default and its implications for global markets.

Some models of loan default are binary, simply modelling the probability of default, while others go further and model the extent of default (eg number of outstanding payments; amount of arrears).

We develop a mixed-frequency, tree-based, gradient-boosting model designed to assess the default risk of privately held firms in real time. The model uses data from publicly-traded companies to ...

We create stepwise logistic regression models to predict the probability of default for private nonfinancial firms under distressed financial and economic conditions in a developing economy. Our main ...

Abstract In this paper, we develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and ...

Most likely, the model will predict a relatively high probability of default for this firm because it is small and, therefore, its revenue stream may be erratic.

The Journal of the Operational Research Society, Vol. 65, No. 3, Special Issue: Credit Risk Modelling (MARCH 2014), pp. 416-434 (19 pages) Credit risk models are commonly based on large internal data ...

As the need for new foreign financing increases, so does a country's financial vulnerability. The indicator has a higher correlation with default episodes than other indicators used in previous ...