2 The Merton model, which is used for modeling default probabilities, is based on the assumption that the equity value is an option on the asset of a company with the strike price equal to the company debts. In the Merton model, it is implicitly assumed that debts last for a fixed period of time, and determining the default point that is the strike price of the option has been controversial in ...

Survival analysis can be applied to build models for time of default on debt. In this paper we report an application of survival analysis to model default on a large data set of credit card accounts. We show that survival analysis is competitive for prediction of default in comparison with logistic regression. We explore the hypothesis that probability of default is affected by general conditio...

The valuation of basket default swaps depends crucially on the joint default probability of the underlying assets in the basket. It is known that this probability can be modeled by means of a copula function which links the marginal default probabilities to a joint probability. The valuation bears risk due to the uncertainty of the copula, the relation of the assets to each other and the margin...

This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases. In the first case, we treat a portfolio whose assets have uniform default correlation and non-uniform default probabilities. We obtain the default probabi...

one of the main challenges facing the agriculture bank of iran regarding lending loans is the high probability of default by farmers. several factors could be involved in this issue and should be considered in order to control and reduce the risk in the failure of repayment. this study aimed to examine the factors affecting the repayment performance of agricultural loans in the city of maragheh...

Banks using either the Foundation or Advanced option of the Internal Ratings Based approach to credit risk under Basel II must estimate long-run annual average default probabilities for buckets of homogeneous assets. The one-factor model underlying the capital calculations in Basel II has implications for the distribution of average (across assets) default rates over time. One of these implicat...

Is object-based attention mandatory or under strategic control? In an adapted spatial cuing paradigm, participants focused initially on a central arrow cue that was part of a perceptual group (Experiment 1) or a uniformly connected object (Experiment 2), encompassing one of the potential target locations. The cue always pointed to an opposite, different-object location. By varying cue validity,...

An important feature of bond markets is the relationship between initial public offering prices and the probability of the issuer defaulting. First, this probability affects bond prices. Second, IPO prices determine the default probability. Though the market equilibrium has been shown to predict well for other assets, it is a priori unclear whether markets will yield competitive prices when suc...