Provisioning against borrowers default risk
نویسندگان
چکیده
منابع مشابه
Exploring the Design of Financial Counseling for Mortgage Borrowers in Default
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Copyright © 2006 R ecently, an unusually high number of firms in the economy defaulted, with the default rate for Moody’s-rated speculativegrade issuers reaching as high as 10.2% in 2001. In their annual review, Moody’s summarized these credit events as follows, “Record defaults —unmatched in number and dollar volume since the Great Depression—have culminated in the bankruptcies of well-known f...
متن کاملModeling Default Risk Modeling
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∗We are extremely thankful for many constructive suggestions from Gurdip Bakshi, N. Chidambaran, Darrell Duffie, Rong Fan, Gifford Fong, John Knight, N. R. Prabhala, Jun Pan, Dmitry Pugachevsky, Shuyan Qi, Ken Singleton, Rangarajan Sundaram, Suresh Sundaresan and Haluk Unal. We received useful feedback from participants at various seminars: at the AIMR talks in Tokyo, Singapore and Sydney, the ...
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ژورنال
عنوان ژورنال: Insurance: Mathematics and Economics
سال: 2016
ISSN: 0167-6687
DOI: 10.1016/j.insmatheco.2015.10.004