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- Pricing Multiname Credit Derivatives: Heavy Tailed Hybrid Approach
- The aim of this paper is to introduce a new methodology for pricing multi-name credit derivatives. Defaults are rare events, and there is little historical data about them. The data about correlated defaults is even scarcer. The implication of not having much historical default data and quotes data is that...
- White papers 2002-01-07
Additional Resources
- U.S. Credit Card Defaults Show Signs of Stabilizing
- By Juan Lagorio and Elinor Comlay NEW YORK (Reuters) - The rate of U.S. credit card defaults showed signs of stabilizing last month, an indication that American consumers are in better financial shape than feared despite job losses and the housing slump. Bank of America Corp BAC in a regulatory...
- News items 2009-08-17
- Defaults Everywhere, But More Lending Is Not the Solution
- Bill Zielinski submits: Mortgage Defaults Only Part Of The Problem Mention loan defaults and most people probably think of mortgages. Home foreclosures due to mortgage defaults are getting the bulk of press coverage and the most attention in Washington. The credit crisis, however, is not confined to...
- External links 2009-02-24
- Fitch: U.S. CMBS Bond Performance Stable in 2008 Despite Higher Loan Defaults
- NEW YORK -- Bond default performance for U.S. CMBS will show some resiliency and remain low in the face of projected higher loan defaults, according to Fitch Ratings. Next year looks to be an inflection point for U.S. CMBS, with loan defaults to increase more than 50% even with...
- Research articles 2007-11-28
- Fitch: August Defaults Just $1B, Q3 High Yield Defaults Down Sharply
- Business Editors NEW YORK--BUSINESS WIRE--Sept. 24, 2002 August defaults dipped to levels not seen since early 2000, according to Fitch Ratings. The month produced $1 billion in defaults and a defaulted issuer count of 6. The month's results are especially noteworthy following July's similar results. Excluding fallen angel...
- Research articles 2002-09-24
- Fitch Ratings: Franchise Loan Defaults Continue To Skyrocket In 1Q'02
- Business Editors NEW YORK--BUSINESS WIRE--May 20, 2002 Franchise loan defaults increased for first-quarter 2002, continuing a trend of skyrocketing defaults that began in 2001, according to the latest Fitch Ratings Franchise Loan Performance Index. The quarter saw 78 new borrower defaults compared to the 62 new borrower defaults...
- Research articles 2002-05-20
- Barry's Jewelers secures waivers to financing defaults
- MONROVIA, Calif.--BUSINESS WIRE--July 12, 1996--Barry's Jewelers Inc. (NASDAQ/NM:BARY) Friday reported that it has obtained waivers of certain defaults under its revolving inventory line and its securitization facility.The defaults principally arose due to the company's previously announced inventory shrinkage for fiscal years 1995 and 1996. The defaults were waived following...
- Research articles 1996-07-12
- Fitch: Annual U.S. CMBS Loan Defaults At Lowest Level Since 2001
- NEW YORK -- After peaking in 2003 at $2.8 billion, annual U.S. CMBS defaults have declined for each of the last two years, with 317 CMBS loans totaling $1.86 billion defaulting in 2005, down from 324 and $2.16 billion, respectively, in 2004, according to the latest CMBS loan default study...
- Research articles 2006-06-12
- Fitch Report Details Drivers of Early U.S. Subprime Defaults
- NEW YORK -- While rising mortgage defaults are to be expected during a housing market downturn, the sharp rise in U.S. subprime mortgage defaults is notable. In a new report, Fitch Ratings analyzes the trends in collateral attributes that contribute to early default in subprime mortgages underlying RMBS. Generally...
- Research articles 2007-04-16
- Second Quarter Sees Record Number of Corporate Defaults
- Tyler Durden submits: The second quarter of 2009 set a new record for the number of corporate defaults, with 82 non-financial events of default, consisting of 16 names in media and entertainment, 15 in autos and 15 in natural resources, according to a new report published by S&P. The...
- External links 2009-08-18
- Pace of Mortgage Defaults Holds Steady in California's Inland Region.(Originated from The Press-Enterprise, Riverside, Calif.)
- Jun. 30--Mortgage defaults fell sharply in Southern California and across the state during May, but the trend hasn't reached the Inland Empire, where defaults were virtually unchanged from a year earlier. In Riverside and San Bernardino counties, May defaults fell 0.5...
- Research articles 1997-06-30
- Hannan president defaults on 4 notes: Bank One files lawsuit for $2.5 mm. (Kenneth Young)
- Hannan president defaults on 4 notes The squeeze in the real estate market is putting the pinch on yet another Cleveland developer. Hannan Co. president Kenneth Young has defaulted on four personal promissory notes from Bank One, Cleveland, on whiHannan president defaults...
- Research articles 1991-09-02
- Rising junk-bond defaults sour debt deals.
- Falling junk-bond returns and rising defaults are jacking up the pressure on money managers while investors deep into risky junk-bond deals could soon see water rushing over their decks. The junk-bond market, which has been eroding for months, Falling...
- Research articles 2000-06-05
- NY banks face up to $3 billion in loan defaults; Enron debacle was only the start.(Analysts reduce NY banks' earnings estimates for fourth quarter of 2001)(Brief Article)(Statistical Data Included)
- New York's biggest banks, already struggling with bad debt left behind by troubled energy and telecom companies, could be facing about $3 billion in defaults this year. J.P. Morgan Chase, Citigroup and The Bank of New York are scrambling to cope w New...
- Research articles 2002-01-07
- Junked! High-yield bond defaults soaring;99 issuers fail to pay bondholders; highest number since Depression.(Brief Article)(Statistical Data Included)
- After three years of gorging themselves on double-digit yields, junk bond investors are finally paying the price for excess. Despite a buoyant economy, last year was one of the worst years ever for corporate bond defaults. Some 99 domestic bond iss After three years...
- Research articles 2000-02-14
- Bond defaults hit record mark.(Brief Article)(Statistical Data Included)
- With the worldwide economy struggling through a major slowdown -- for some economies a full-blown recession -- bond defaults among major companies more than doubled last year, rising to record levels, said Moody's Investors Service, a major corpora With the worldwide economy struggling through...
- Research articles 2002-02-04
- Tech Financing: Defaults On The Rise
- The financiers of technology projects are seeing defaults rise and that ups the ante for customers looking for credit and the vendors extending loans. The Wall Street Journal connects the dots. In September, 0.86 percent of equipment loansâ€"that includes office gearâ€"were written off. That’s...
- Blog posts 2008-10-28
- Inside the market correction: first came the spike in delinquencies and defaults. Then came the fallout for subprime lenders. A market correction in the mortgage industry is squeezing out the excesses in pricing and underwriting. Most predict the industry
- Like a streak of lightning that comes out of the blue and sets the barn on fire, the signs of distress in the mortgage marketplace seemed to appear rather suddenly late last year. The spike in delinquencies and defaults in subprime loans was notably sharp. There were also increases in...
- Research articles 2007-05-01
- Clearing Up Confusion on Loan Defaults, Deflation and Bonds
- Loan Defaults There seems to be a lot of confusion about how loan defaults affect the money supply, so we'll quickly cover some old ground. by Steven Saville
- External links 2009-01-20
- When Bank Defaults Are a Good Thing
- Felix Salmon submits: One of the problems with the banking bailout in both the UK and the US is that it’s set up a massive moral hazard trade. Bank debt is trading at a massive discount to face value, and investors have been buying it in the hope and...
- External links 2009-05-27
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