Risk

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

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 ...
Risk

Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models

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 ...