We develop a deep learning model of multi-period mortgage risk and use it to analyze an
unprecedented dataset of origination and monthly performance records for over 120 million …

Credit risk is the distribution of financial losses due to unexpected changes in the credit
quality of a counterparty in a financial agreement. We review the structural, reduced form and …

We study corporate bond default rates using an extensive new data set spanning the 1866–2008
period. We find that the corporate bond market has repeatedly suffered clustered …

We study the sources of corporate default clustering in the United States. We reject the
hypothesis that firms’ default times are correlated only because their conditional default rates …

We develop a pivotal test to assess the statistical significance of the feature variables in a
single-layer feedforward neural network regression model. We propose a gradient-based test …

In a traditional structural model of default it is implicitly assumed that the information used to
calibrate and run the model is publicly available. In reality, model inputs and parameters are …

We model aggregate credit losses on large portfolios of financial positions contracted with
firms subject to both cyclical default correlation and direct default contagion processes. …

Credit contagion refers to the propagation of economic distress from one firm to another. This
article proposes a reduced-form model for these contagion phenomena, assuming they are …

This paper analyzes a family of multivariate point process models of correlated event timing
whose arrival intensity is driven by an affine jump diffusion. The components of an affine …

The recent accounting scandals at Enron, WorldCom, and Tyco were related to the
misrepresentation of liabilities. We provide a structural model of correlated multi-firm default, in which …