Hazard rates
A tale of two tail risks
This paper investigates the relationship between banking credit risk and the financial market jump hazard rate, finding the two risks to have opposing behaviors.
Breaking break clauses
Breaking break clauses
Closing out DVA
Closing out DVA
Dynamic frailties and credit portfolio modelling
Martin Delloye, Jean-David Fermanian and Mohammed Sbai estimate and discuss a reduced-form credit portfolio model in a proportional hazard framework. They propose an innovative method of generating flexible amounts of dependence between underlying…
Low-default portfolios without simulation
Low-default portfolios are a key Basel II implementation challenge, and various statistical techniques have been proposed for use in PD estimation for such portfolios. To produce estimates using these techniques, typically Monte Carlo simulation is…
Kamakura upgrades credit default prediction software
Hawaii-based risk technology vendor Kamakura has upgraded its default probability calculation software.
Generalising with HJM
Credit risk
Applying HJM to credit risk
Credit risk