Learn how to accurately quantify credit risk with key measures such as probability of default, loss given default, and exposure at default for informed lending.

We provide empirical evidence to support the calibration of a limit on household indebtedness levels, in the form of a cap on the debt-service-to-income (DSTI) ratio, in order to reduce the ...

This paper introduces the quantile regression- based Distance-to-Default to Probability of Default (DD-PD) mapping, which links individual firms’ DD to their real world PD. Since changes in the DD ...

Learn how the Advanced Internal Rating-Based (AIRB) approach helps financial institutions internally assess credit risk using ...

We analyze the market assessment of sovereign credit risk using a reduced-form model to price the credit default swap (CDS) spreads, thus enabling us to derive values for the probability of default ...

With limited seasoning and primarily a clean payment history, OBX 2026-NQM1 had a seasoned probability of default of 33.3% among the AAA stresses and 11.4% among the B.