The present paper develops a simultaneous multi-factor model for defaults and recoveries. Applying this model, risk parameters can be forecast using systematic and idiosyncratic risk factors and their implied correlations. The theoretical framework is accompanied by an empirical analysis in which a negative correlation between defaults and recoveries over the business cycle is observed. In the ...

changes in credit risk may arise when either the value or the risk of corporate assets changes. changes in the equity value associated with the changes in the asset value and changes in asset risk can be characterized into potentially countervailing direct and indirect effects. the indirect effect of risk on equity value is a function of factors that affect the debt value of including leverage,...

Neurobiological theories posit that schizophrenia relates to disturbances in connectivity between brain regions. Resting-state functional magnetic resonance imaging is a powerful tool for examining functional connectivity and has revealed several canonical brain networks, including the default mode, dorsal attention, executive control, and salience networks. The purpose of this study was to exa...

This paper develops a simple model based on an options approach to measure provisions covering expected losses of collateralised retail lending due to default. The dynamics of the probability of default of retail loans is allowed to follow a meanreverting random process, which captures the characteristics of an economic cycle. Based on the data of the residential mortgage market in Hong Kong, t...

In this paper we present a tree model for defaultable bond prices which can be used for the pricing of credit derivatives. The model is based upon the two-factor Hull-White (1994) model for default-free interest rates, where one of the factors is taken to be the credit spread of the defaultable bond prices. As opposed to the tree model of Jarrow and Turnbull (1992), the dynamics of default-free...

Resting state functional connectivity, which is defined as temporal correlation of spontaneous activity between diverse brain regions, has been reported to form resting state networks (RSNs), consisting of a specific set of brain regions, based on functional magnetic resonance imaging (fMRI). Recently, studies using near-infrared spectroscopy (NIRS) reported that NIRS signals also show temporal...

The aim of this paper is to study the impact of Stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based on correlation for measuring the structure of dependency. Using a copula approach, we can model the di...