We develop a model for pricing risky debt and valuing credit derivatives that is easily calibrated to existing variables. Our approach is based on expanding the Heath-Jarrow-Morton (1990) term-structure model and its extension, the Das-Sundaram (2000) model to allow for defaultable debt with rating transitions. The framework has two salient features, comprising extensions over the earlier work:...

This article describes the steps required to generalize a sustainability credit rating system based on analytical hierarchy process. We argue that such systems are ideal for commercial banks improve their lending processes. Starting with model by Zeidan et al. (2015), we transform SCSS from closed an open platform adding country and industry variables, two additional possible answers, explicit ...

In many credit risk and pricing applications, credit transition matrix is modeled by a constant transition probability or generator matrix for Markov processes. Based on empirical evidence, we model rating transition processes as piecewise homogeneous Markov chains with unobserved structural breaks. The proposed model provides explicit formulas for the posterior distribution of the time-varying...