SETTING Public tuberculosis (TB) clinics in urban Morocco. OBJECTIVE Explore risk factors for TB treatment default and develop a prediction tool. Assess consequences of default, specifically risk for transmission or development of drug resistance. DESIGN Case-control study comparing patients who defaulted from TB treatment and patients who completed it using quantitative methods and open-en...

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...

This study explores a credit derivative pricing model with counterparty risk and the contagion effect. To compare with the standard credit derivative pricing model, we analyze the counterparty risk and the contagion effect to a kthto-default Basket Credit Linked Note (BCLN) valuation by Monte Carlo simulation. Counterparty risk and the contagion effect show significant influence for kth-to-defa...

Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity’s diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk pre...

This thesis proposes a novel credit risk model which deals with incomplete information on the firm’s asset value. Such incompleteness is due to reporting bias deliberately introduced by insider managers and executives of the firm and unobserved by outsiders. The pricing of corporate securities and the evaluation of default measures in our credit risk framework requires the solution of a computa...

We consider the optimal portfolio problem of a power investor who wishes to allocate her wealth between several credit default swaps (CDSs), a stock index, and a money market account. We model contagion risk among the reference entities in the portfolio using a reduced form Markovian model with interacting default intensities. Using the dynamic programming principle, we establish a lattice depe...

Observation of historical default rates supports the idea that default events (and, more generally, all indicators of credit quality and transition) are correlated. Default correlations are caused by similar economic conditions and, within a sector, by industry-specific reasons. However, incorporating default correlation in any portfolio credit risk analysis is difficult because of the lack of ...

Recent advances in the theory of credit risk allow the use of standard term structure machinery for default risk modeling and estimation. The empirical literature in this area often interprets the drift adjustments of the default intensity’s diffusion state variables as the only default risk premium. We show that this interpretation implies a restriction on the form of possible default risk pre...

This paper examines the intertemporal relation between expected return and risk for 30 stocks in the Dow Jones Industrial Average. The mean-reverting dynamic conditional correlation model of Engle (2002) is used to estimate a stock’s conditional covariance with the market and test whether the conditional covariance predicts time-variation in the stock’s expected return. The risk-aversion coeffi...

OBJECTIVE To analyze the cases of tuberculosis and the impact of direct follow-up on the assessment of treatment outcomes. METHODS This open prospective cohort study evaluated 504 cases of tuberculosis reported in the Sistema de Informação de Agravos de Notificação (SINAN - Notifiable Diseases Information System) in Juiz de Fora, MG, Southeastern Brazil, between 2008 and 2009. The incidence of ...