Credit migration matrices are cardinal inputs to many risk management applications. Their accurate estimation is therefore critical. One explores three approaches, cohort and two variants of duration - time homogeneous and non-homogeneous - and the resulting differences, both statistically through matrix norms and economically through credit portfolio and credit derivative...
The article describes a new approach to asses firms' and private customers' default proabilities that integrates country risk and macro- and microeconomic dependencies between counterparties. The estimation of default probabilities is presented as a first step in the evaluation of credit portfolio risks and the modeling of dependencies between clients....
This paper compares alternative default-free bond pricing models in their abilities to price the credit risk of companies. The theoretical framework is the reduced-form approach of Duffie and Singleton (1999). The parameters of a CKLS (1992) type stochastic differential equation that describes the dynamics of the credit spreads on coupon...
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