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This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic ...

NEW YORK--(BUSINESS WIRE)--Moody’s Analytics, a leader in credit risk measurement and management, today announced Through-the-Cycle EDF™ (Expected Default Frequency) measure, a quantitatively derived ...

Bank of America Corp. has begun using artificial intelligence to predict the likelihood of companies defaulting on loans. “Today we present our inaugural work on applying the latest machine learning ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...

NEW YORK, May 10 (Reuters) - The cost of insuring exposure to U.S. government debt rose to fresh highs on Wednesday, as President Joe Biden and top lawmakers remained deadlocked in talks over raising ...

LONDON, Aug 13 (Reuters) - The cost of insuring against an Argentine sovereign default jumped again on Tuesday as investors continued to react to the heavy defeat of President Mauricio Macri in the ...

The BIS indicated in July 2020 an unprecedented rise in default risk correlation as a result of pandemics-induced credit risks’ accumulation. A third of the world banking assets credit risk ...

We study the default behavior of original issue high-yield bonds to answer the open question of how the probability of default changes over time. We use a flexible econometric method, the Cox ...