In this research, we conduct specification analysis of structural credit risk models with stochastic volatility using term structure Credit Default Swap (CDS) spreads and equity form high-frequency return data. We also test five representatives samples 93 single name CDS contracts from January 2010 -2022. The model consider are; the standard Merton(1974) model, Black & Cox (1976) flat barri...

The problem in default probability estimation for low-default portfolios is that there is little relevant historical data information. No amount of data processing can …x this problem. More information is required. Incorporating expert opinion formally is an attractive option.

This is a position paper concerning the role of empirical studies of human default reasoning in the formalization of AI theories of default reasoning. We note that AI motivates its theoretical enterprise by reference to human skill at default reasoning, but that the actual research does not make any use of this sort of information and instead relies on intuitions of individual investigators. We...

The default assumption of many density-functional theory codes that the simulation cell is spatially periodic implies any unbalanced charge in will cause solution to diverge, unless imbalance removed some unphysical way. Periodic thus makes it difficult model accurately and field are induced at apex a single carbon nanotube (CNT) when background electric applied. We describe how containing 1.8 ...

background: coordination is a critical factor in successful organization and appropriate response to disasters. in this regard, a centralized coordination mechanism is the first step towards an effective, efficient, and sustainable response in order to be ensured of the short- and long-term recovery. thus, this study aimed to identify and prioritize the barriers and facilitators of coordination...

unreliability of financial statements in iran has urged this country’s financial services industry management to manipulate practices by which they could gain reliable risk scores for borrowers. this research extracts the most influential qualitative factors that would impact the default of a business relationship borrower. solicitation of the factors is done through delphi methodology. the mea...

This paper studies how default varies with aggregate income. We analyze a model in which optimal contracts enable risk sharing of privately observed, idiosyncratic income by allowing for default. Default provisions allow agents with low idiosyncratic income realizations to repay less and thus provide insurance. Default penalties ensure that only these agents default. We show that default can oc...