In light of the interest-rate-risk-driven failure of Silicon Valley Bank on March 10, 2023, we've added a chart showing how interest rate mismatching increases default risk. The calculation applies to ...

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges for credit risk and has become an integral part of how credit risk capital ...

The assessment of default risk is also critical in the valuation of corporate bonds and credit derivatives such as basket-default swaps. There is an important distinction between default risk under ...

Kamakura’s approach to credit risk centres around innovative data analysis. This, and the wealth of data at its disposal, offers more accurate default probability reports and fiscal predictions ...