Learn how to accurately quantify credit risk with key measures such as probability of default, loss given default, and exposure at default for informed lending.

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms’ DD to their real world PD. Since changes in the DD ...

The credit quality of an entity is essential information that reflects that entity’s financial health and its ability to meet debt obligations. Credit quality can be expressed as a credit score, but ...

We analyze the market assessment of sovereign credit risk using a reduced-form model to price the credit default swap (CDS) spreads, thus enabling us to derive values for the probability of default ...

In light of the interest-rate-risk-driven failure of Silicon Valley Bank on March 10, 2023, we've added a chart showing how interest rate mismatching increases default risk. The calculation applies to ...