... between 2013 and 2015 and theoretical observations around that data. Findings Although there have been considerable challenges, historically, in providing credit for small and mid-sized businesses in the USA, the authors show further evidence that private middle market capital is growing (post credit...

... exposures. After introducing calibration methods for short rate models, the author quantifies interest rate and credit risk for corporate and government bonds and demonstrates that the type of process can have a considerable impact despite comparable underlying input data. Findings The results show...

...Calum G. Turvey; Vicki L. Bogan; Cao Yu Purpose Firms facing significant income volatility can often suffer from downside risk such that return on assets is insufficient to meet fixed financial obligations. The purpose of this paper is to provide a prescriptive credit solution for small businesses...

.... In their investigation, the authors look at a risk concentration strategy and discuss expected profits (losses) under conditions of limited and unlimited liability. Findings It is found that companies are more likely to minimize losses and maximize profits if they can obtain credit at a low enough interest rate...

...Zaneta Chapman; Thomas Getzen Purpose The purpose of this paper is to analyze strategies for gamblers/investors to increase their chances of reaching certain monetary and/or survival goals while facing a losing proposition. Design/methodology/approach The paper investigates the use of credit...

...Angelo Corelli Purpose The paper aims to present a framework for modeling defaultable securities and credit derivatives which allows for dependence between market risk factors and credit risk. Design/methodology/approach The default event is modeled using the Cox process when the stochastic...

... four types of external catastrophe risk capital: reinsurance, industry loss warranties, catastrophe derivatives, and insurance‐linked securities. Finally, how the credit crisis has impacted alternative sources of catastrophe risk capital in different ways is considered. Design/methodology/approach...

...Elisa Luciano Purpose The implementation of credit risk models has largely relied either on the use of historical default dependence, as proxied by the correlation of equity returns, or on risk neutral equicorrelation, as extracted from CDOs. Contrary to both approaches, the purpose of this paper...

...Michael R. Powers; Arindam Bandyopadhyay; Tasneem Chherawala; Asish Saha Purpose This paper is a first attempt to empirically calibrate the default and asset correlation for large companies in India and elaborate its implications for credit risk capital estimation for a bank. Design/methodology...

... variable (see, for example, Seeger, 2000). To this end, we introduce the following learning problem. Problem 2 (semi‐supervised MRE problem): Learning Learning methods Financial modelling Credit Most investors rely, at least to some extend, on quantitative models when allocating...

... specific characteristics can provide additional significant information in assessing the real world credit quality of a firm in a multifactor model Findings From analysis of 150 publicly‐traded Indian corporates over the year 1998 to 2005 it was found that in a volatile equity market like India, one...

... options prices to the pricing of credit risky assets is applied. First, the equity probability density function of XYZ is inferred from a set of quoted equity options with different strikes and maturities. This function is then transformed into the probability density function of the XYZ assets...

...Marco Fabio Delzio Purpose To implement the model described in the companion paper, “Pricing credit risk through equity options calibration, part 1 – theory,” and show how to calculate the price of a set of coupon bonds issued by a US telecommunications and media company, AOL Time Warner, based...

...Fathi Abid; Nader Naifar Purpose The aim of this paper is to study the impact of equity returns volatility of reference entities on credit‐default swap rates using a new dataset from the Japanese market. Design/methodology/approach Using a copula approach, the paper models the different...

...Michel Gendron; Van Son Lai; Issouf Soumaré Purpose The purpose of this paper is to analyse the effects of the maturities of credit‐enhanced debt contracts on the value of an insurer's loan‐guarantee portfolios. Design/methodology/approach The paper proposes a contingent‐claims model and uses...

... modeling when some samples are considered more reliable than others in predicting a common mean. We also describe an example with real credit data showing that ignoring this modification of the two‐sample test can lead to the wrong statistical conclusion. Design/methodology/approach We follow...

...Sergio M. Focardi; Frank J. Fabozzi Purpose This paper seeks to discuss a modeling tool for explaining credit‐risk contagion in credit portfolios. Design/methodology/approach Presents a “collective risk” model that models the credit risk of a portfolio, an approach typical of insurance...