This paper addresses the building of obligor-level hazard rate corporate probability of default models for stress testing, departing from the predominant practice in wholesale credit modeling of ...
In this paper, we propose Vasicek-type models for estimating portfolio-level probability of default (PD). With these Vasicek models, asset correlation and long-run PD (LRPD) for a risk-homogeneous ...
In the past few years, there have been several developments in the field of modeling the credit risk in banks’ commercial loan portfolios. Credit risk is essentially the possibility that a bank’s loan ...
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