Traders in bonds and credit default swaps are bombarded with information on the default probabilities implied by credit spreads using a simple ratio. This ratio predicts that the credit spread will be ...

Why have major regulators set forth stress tests that are a function of a small number of scenarios instead of a best practice Monte Carlo simulation from which the full probability distribution of ...

The team at European online lender October has published a blog post on credit risk analysis models including their construction and application. October notes in an update that the Covid-19 health ...

Kamakura’s approach to credit risk centres around innovative data analysis. This, and the wealth of data at its disposal, offers more accurate default probability reports and fiscal predictions ...

This issue of The Journal of Risk Model Validation looks at various novel approaches to risk model validation. The issue’s first paper, “An aggregated metrics framework for multicriteria model ...

It is difficult to find any gathering at which artificial intelligence (AI) and its likely impacts on employment and activity are not being discussed. Machine learning, which is a large and important ...