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

Traders in bonds and credit default swaps are bombarded with information on the default probabilities implied by credit spreads using a simple ratio.

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 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 ...

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 ...

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 ...

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 ...

Our model estimates therefore suggest that the Basel II requirement of assigning at least a 0.03% default transition probability is conservative. For example, for the A-rated category the top of the ...

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 ...