1 In the credit risk analysis, the dependence of default times is one of most important issues, for the portfolio credit derivatives as basket default swaps and CDOs, and also for the contagious credit risks. In the literature, the modelling of multi credit names is diversified in various directions such as Markov models ([3, 4]), contagion models ([10]), latent variable models ([8]) and loss p...

Abstract. We study default contagion in large homogeneous credit portfolios. Using data from the iTraxx Europe series, two synthetic CDO portfolios are calibrated against their tranche spreads, index CDS spreads and average CDS spreads, all with five year maturity. After the calibrations, which render perfect fits, we investigate the implied expected ordered defaults times, implied default corr...

Default rate is a term frequently used in financial or economic circles to designate the percentage of borrowers of a given universe (for example, a specific bank portfolio) that have not or will not comply with their credit obligations. Based on past default data, expectations of future delinquency is one of the components that usually explains the level of bank spreads (see BCB, 1999). Also, ...

In this paper we study how corporate bond defaults can be predicted using financial ratios and how the forecasted probability of default relates to the cross-section of expected stock returns. Using several performance measures we find that the duration model outperforms existing models in correctly classifying both Default and Non-Default firms. Using the default probabilities predicted by our...

criteria in household portfolio. to do this, the data which are related to the asset price are used including: bank deposit, bonds, stock, exchange, coin, land and housing in time period of 1997 to 2011. in this research, portfolio var id calculated in the confidence level of 90%, 95%, and 99% and in time periods of one year and 14 years. after calculating returns, return standard deviation, co...

Dividing the total portfolio (parent) into non-overlapping sub-portfolios (children), and assuming homogeneity for both the parent and the children, we use a top-down dynamic default intensity model for the parent, and specify the conditional probability of default in the children given imminent default in the parent. We consider two fundamental cases which are building blocks of more complex a...

The paper focuses on the estimation of customer default amoung the small and medium enterprises (SME). Based on the literature on credit scoring modelswebuild a logistic regression model which is widely used by commercial banks. Our models predicting customers’ default on their payables to suppliers are estimated on a sample of a customer portfolio of 905 SME clients. Based on the analysis the ...