Search results with tag "Default probabilities"
Modeling Default Risk - Moody's Analytics
www.moodysanalytics.comDec 18, 2003 · Cross default clauses in debt contracts usually ensure that the default probabilities for each of the classes of debt for a firm are the same. That is, the default probability of the firm determines the default probability for all …
Probability of Default Ratings and Loss Given Default ...
care-mendoza.nd.educase that firms with above average firm-wide expected LGDs have lower default probabilities than other firms with the same CFR. Based on this reasoning, given a CFR and an expected firm-wide LGD rate, PDRs are derived in a straightforward manner via idealized loss and default tables. (See Appendix 1.)
Clustering Analysis for Credit Default Probabilities …
www.dbjournal.ro24 Clustering Analysis For Credit Default Probabilities In A Retail Bank Portfolio the set of records, in order to obtain a profile of the customers. Then, we applied the data mining models on the cluster with bad debtors, reaching a very
Basel Committee on Banking Supervision Working Paper No. 14
www.bis.orgThe dynamics of default probabilities assigned to rating grades are explored by analysing the properties of stylised rating systems of the types often described as point-in-time and through-the-cycle. The impact of using idealised stressed rather than unstressed obligor-