I develop various frameworks for the separation of loss given default and default intensity present in securities with credit risk. They include spot and forward credit default swaps, digital default swaps and bonds. Cross-sectional no-arbitrage restriction between different securities extracts the pure measure of default intensity and loss given default not contaminated by the other. Using spo...

AIM To study the magnitude of default, time of default, its causes, and final clinical outcome. METHODS Data collected in active surveys in Agra is analyzed. Patients were given treatment after medical confirmation and were followed up. The treatment default and other clinical outcomes were recorded. RESULTS Patients who defaulted have comparable demographic characteristics. However, among ...

This paper builds a simple theoretical model designed to study dollarization. Each period, a benevolent government decides whether or not to dollarize, how much to borrow or lend on an international bond market, and, if dollarization has not occurred, the devaluation rate. In equilibrium, international borrowing is limited endogenously such that the government always chooses to repay when the p...

A Bayesian approach to default rate estimation is proposed and illustrated using a prior distribution assessed from an experienced industry expert. The principle advantage of the Bayesian approach is the potential for coherent incorporation of expert information crucial when data are scarce or unreliable. A secondary advantage is access to efficient computational methods such as Markov Chain Mo...

This paper builds a simple theoretical model designed to study dollarization. Each period, a benevolent government decides whether or not to dollarize, how much to borrow or lend on an international bond market, and, if dollarization has not occurred, the devaluation rate. In equilibrium, international borrowing is limited endogenously such that the government always chooses to repay when the p...

This paper provides a model for the recovery rate process in a reduced form model. After default, a firm continues to operate, and the recovery rate is determined by the value of the firm’s assets relative to its liabilities. The debt recovers a different magnitude depending upon whether or not the firm enters insolvency and bankruptcy. Although this recovery rate process is similar to that use...

Under the Basel II and III agreements, probability of default (PD) is a key parameter used in calculating expected credit loss (ECL), which typically defined as: PD × Loss Given Default Exposure at Default. In practice or regulatory requirements, gross domestic product (GDP) has been adopted estimation model. Due to problem excessive fluctuation highly volatile ECL estimation, models that produ...

We derive a partial integro differential equation (PIDE) which relates the price of a calendar spread to the prices of butterfly spreads and the functions describing the evolution of the process. These evolution functions are the forward local variance rate and a new concept called the forward local default arrival rate. We then specialize to the case where the only jump which can occur reduces...

We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentarily exceeding its assets. Diffusion in a linear potential with the radiation boundary condition is used to mimic a company's default process. The exact solution of the corresponding Fokker-Planck e...

When analyzing default predictions in real estate companies, the number of non-defaulted cases always greatly exceeds the defaulted ones, which creates the twoclass imbalance problem. This lowers the ability of prediction models to distinguish the default sample. In order to avoid this sample selection bias and to improve the prediction model, this paper applies a minority sample generation app...