All Questions
Tagged with default credit-risk
8 questions
1
vote
1
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74
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Determination of default time based on some model
I have come across below snippet of VBA code, which is basically trying to randomly generate Default time based on some model of Hazard rate
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- 71
0
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0
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33
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Default rate short majurity
What is the best way of measuring default rates for a portfolio which contains mostly loans which are either 30, 60 or 90 days term?
Normally I use the following methodology
Look at all loans which ...
- 309
1
vote
1
answer
217
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Bayesian analysis in R for low default portfolios
I want to apply the knowledge of this paper (Bayesian estimation of probabilities of default for low default portfolios, by Dirk Tasche) in R, but I can't find the right bayesian package and functions ...
- 11
2
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2
answers
78
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Are Credit Default Swaps used by B2B Service providers or Vendors?
I understand CDS's are often employed in trading strategies between institutions - That is well publicized. What isn't as publicized is how other customers might look to use a CDS.
I work in an ...
- 183
3
votes
1
answer
164
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Simplifying an expectation function of default time and rates
I have the following expectation to calculate :
$$ \mathbf{E}\left[ e^{\int_{t_0}^{\tau} r_s ds} \mathbf{1}_{\{\tau < T\}}\right] $$
More precisely, I want to show that :
$$ \mathbf{E}\left[ e^{\...
- 271
2
votes
0
answers
98
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How are CDS prices calculated for financial institutions?
If you need to estimate the fair price of a credit default swap on a financial institution, can it be done? Typical structural models tend to break down for the complex debt and asset characteristics ...
- 1,074
2
votes
0
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452
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Obtaining the default probability and recovery rate for each credit rating?
I have the following questions for obtaining the credit rating:
Given that I have cumulative default probability of each credit rating from Global Corporate Average Cumulative Default Rates (1982-...
- 501
2
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2
answers
1k
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Hedging credit risk using Put equity options
I am looking for some paper or similar which deal with this topic: hedging bankruptcy on firm's debt using Put options written on that firm's equity price.
This should be based on the assumption that ...
- 2,153