Risk

Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio

Although the literature about measuring probability of default (PD) in retail credit portfolios is vast, the same thing cannot be said about measuring exposure at default (EAD). This paper aims to ...
Risk

A credit portfolio framework under dependent risk parameters: probability of default, loss given default and exposure at default

This paper introduces a credit portfolio framework that allows for dependencies between default probabilities, secured and unsecured recovery rates and exposures at default (EADs). The overall ...
Seeking Alpha

Codere SA, An ISDA Event Of Default, Has 1 Year Default Probability Of 10.11%, Up 0.25%

Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. The blue line is the firm's one year default probability. The yellow line is the annualized one month default ...
Seeking Alpha

Banco Santander Chile 1 Year Default Probability 3.26%, Up 0.61% Today

Please Note: Blog posts are not selected, edited or screened by Seeking Alpha editors. The blue line is the firm's one year default probability. The yellow line is the annualized one month default ...