Estimation of probability of default (PD), loss given default and exposure at default for portfolio segments containing reasonably homogeneous assets is essential for prudent risk management as well ...

Although the literature about measuring probability of default (PD) in retail credit portfolios is vast, the same thing cannot be said about measuring exposure at default (EAD). This paper aims to ...

An icon in the shape of a lightning bolt. Impact Link What is the mathematical likelihood that a sovereign will default? Citi's Investment and Research team thinks they have a pretty good answer. A ...

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms’ DD to their real world PD. Since changes in the DD ...

Traders in bonds and credit default swaps are bombarded with information on the default probabilities implied by credit spreads using a simple ratio. This ratio predicts that the credit spread will be ...

The credit quality of an entity is essential information that reflects that entity’s financial health and its ability to meet debt obligations. Credit quality can be expressed as a credit score, but ...

NEW YORK, May 31 (Reuters) - The probability of a U.S. default has declined to its lowest since January, according to MSCI estimates, as a debt ceiling deal gets closer to the finish line. The ...

Mumbai: The markets regulator on Thursday directed credit rating companies to start disclosing the probability of default for the issuers they rate, troubled by the raters’ track record of detecting ...

Lenders use some common measures to predict how risky a borrower might be Chip Stapleton is a Series 7 and Series 66 license holder, CFA Level 1 exam holder, and currently holds a Life, Accident, and ...