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 …

We consider the problem of decomposing the credit risk in a portfolio into a sum of risk
contributions associated with individual obligors or transactions. For some standard …

David Jamieson Bolder Theoretical Foundations, Diagnostic Tools, Practical Examples, and
Numerical Recipes in Python Page 1 David Jamieson Bolder Credit-Risk Modelling …

In this paper, we study large losses arising from defaults of a credit portfolio. We assume that
the portfolio dependence structure is modelled by the Archimedean copula family as …

A critical issue in the credit risk industry is the accurate, efficient and robust pricing of
collateralized debt obligations (CDO) in a variety of mathematical models. These and many …

We propose a factor contagion model for correlated defaults. The model covers the
heterogeneous conditionally independent portfolio and the infectious default portfolio as …

The aim of this study is to provide non-linear forecasting models for prediction of the
international tourist arrival to Thailand by using data from period 1998-2014 (Feb.). The …

The goal of the paper is the numerical analysis of the performance of Monte Carlo simulation
based methods for the computation of credit-portfolio loss-distributions in the context of …

We estimate generic statistical properties of a structural credit risk model by considering an
ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We …

The instability of the financial system as experienced in recent years and in previous periods
is often linked to credit defaults, ie, to the failure of obligors to make promised payments …