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 ...

This paper introduces a credit portfolio framework that allows for dependencies between default probabilities, secured and unsecured recovery rates and exposures at default (EADs). The overall ...

Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. The term structure of default probabilities shows the annualized probabilities of default for maturities ranging ...

Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. The blue line is the firm's one year default probability. The yellow line is the annualized one month default ...