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 ...

In light of the interest-rate-risk-driven failure of Silicon Valley Bank on March 10, 2023, we've added a chart showing how interest rate mismatching increases default risk. The calculation applies to ...

We decompose credit default swap spreads of euro area member states into their risk premium and default risk elements. Further, we forecast one-year probabilities of default. The derived values can be ...

Learn how to accurately quantify credit risk with key measures such as probability of default, loss given default, and exposure at default for informed lending.

In the nation's rapidly evolving debt market, clarity on the understanding of the probability of default (PD) is critical for every investor aspiring to invest in bonds. Whether you are investing in ...

In another sign that the U.S. economy is headed for a rough landing, leveraged loans’ and high yield bonds’ probability of default and actual defaults continue to rise. Market signals, as well as ...