...Lorenzo Gai; Federica Ielasi Purpose – The purpose of this paper is to investigate the drivers influencing the risk of default on mutual guaranteed loans. The authors aim to verify whether default is influenced by the specific business policies of mutual guarantee institutions (MGIs...

...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...

...Arindam Bandyopadhyay Purpose The purpose of this article is to discuss a Black‐Scholes‐Merton (BSM)‐based market approach to quantify the default risk of publicly‐listed individual companies. Design/methodology/approach Using the contingent claim approach, a framework is presented...