Credit spread risk in the banking book is the risk of loss of earnings or economic value arising from changes in credit spreads on instruments held in non-trading books. Credit spreads indicate the ...

This paper introduces a continuous-time extension to the influential CreditRisk+ model for portfolio credit risk modeling. For capital calculations it introduces a risk measure based on the maximum of ...

Predicting credit risk has always been a complex puzzle for financial institutions around the world. The global financial crisis made this painfully clear when even the most sophisticated banks ...

CHICAGO, Nov. 03, 2025 (GLOBE NEWSWIRE) -- Recent patterns in consumer credit risk suggest a growing divide among U.S. consumers, as some demonstrate heightened financial resilience while others face ...