CreditVantage is pleased to announce the launch of the CRS Corporate PD Model, its new probability of default (PD) tool. Initially the model will be applicable for North America with coverage of ...

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 ...

Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. The blue line is the firm's one year default probability. The yellow line is the annualized one month default ...

Pietro Rossi had a problem. An insurance company needed a model that could price bonds based on the likelihood of changes in credit ratings. The standard, off-the-shelf models are based on probability ...

Kamakura’s approach to credit risk centres around innovative data analysis. This, and the wealth of data at its disposal, offers more accurate default probability reports and fiscal predictions ...

Structural models of default are widely used to analyze corporate bond spreads, but have generally been unable to explain why risk premiums are as high as they are. This credit spread puzzle can be ...

The assessment of default risk is also critical in the valuation of corporate bonds and credit derivatives such as basket-default swaps. There is an important distinction between default risk under ...