We identify and estimate the sources of risk that cause corporate bonds to earn an excess return over default-free bonds. In particular, we estimate the risk premium associated with a default event. Default is modelled using a jump process with stochastic intensity. For a large set of firms, we model the default intensity of each firm as a function of common and firm-specific factors. In the mo...

By the end of 2011, agricultural population in accounted for 48.73% in China. Also, farmers in China are dispersed and their financial information is incomplete, which leads to credit risk evaluation system of farmers in China is not sound at all. Most Chinese banks even have not established the rating system, so farmer credit risk rating system pressed for solution. This study proposes an inde...

We develop a model for pricing derivative and hybrid securities whose value may depend on different sources of risk, namely, equity, interestrate, and default risks. In addition to valuing such securities the framework is also useful for extracting probabilities of default (PD) functions from market data. Our model is not based on the stochastic process for the value of the firm, which is unobs...

This paper estimates the price for restructuring risk in the U.S. corporate bond market during 1999-2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk represents 6% to 8% of the swap rate without restructuring. We show that the restructuring premium depends on firmspecific balance-sheet and mac...

We quantify the relative importance of various drivers behind subprime borrowers’decision to default. In our econometric model, we allow borrowers to default either because doing so increases their lifetime wealth or because of short-term credit constraints, taking into account that either factor by itself is suffi cient to induce default. Our model also incorporates various proxies for borrowe...

We consider a reduced-form credit risk model where default intensities and interest rate are functions of a not fully observable Markovian factor process, thereby introducing an information-driven default contagion effect among defaults of different issuers. We determine arbitrage-free prices of OTC products coherently with information from the financial market, in particular yields and credit ...

Categorization with a very high missing data rate is seldom studied, especially from a non-probabilistic point of view. This paper proposes a new algorithm called default clustering that relies on default reasoning and uses the local search paradigm. Two kinds of experiments are considered: the first one presents the results obtained on artificial data sets, the second uses an original and real...

Objectives High rates of antituberculosis treatment discontinuation have been reported in some areas of Africa. The aim of this study was to determine the rate, time to and determinants of antituberculosis treatment default in Yaounde. Design This was a retrospective cohort study based on hospital registers. Tuberculosis treatment default or antituberculosis treatment discontinuation was defin...

In the financial system and economy, banking industry plays a crucial role. Default risk takes central stage in preserving stability needs to be mitigated as it can trigger crisis. The study examines combined effects of monetary policy bank competition on defaults. Using sample 95 commercial banks Indonesia between 2009 2019, this employs Generalized Method Moments, two-step dynamic panel-data ...