The most widely-used econometric technique for analyzing default behavior in consumer credit markets is the proportional hazard model, which assumes that borrower characteristics increase or decrease default probability in a similar way over the life of a loan. In this paper, I employ an alternative method using censored quantile regression (Portnoy (2003)) on a data set of over 17,000 loans. T...

Credit risk management is becoming more and more important in recent years. When a company deals with a financial problem, it may not be able to fulfill its financial obligations, which can cause direct and indirect financial losses to shareholders, creditors, investors and other people in the community. Advanced credit risk models that are based on market value include improving credit quality...

Default loss distribution of corporate portfolios plays a crucial role in CDO tranche pricing, tracking error calculation and profit/loss assessment of corporation systems. This work gives an efficient algorithm to calculate the default loss distribution based on Hull-White probability bucketing approach and importance sampling method. The Gaussian copula model is assumed to calculate the condi...

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