This paper develops a model for the pricing of credit-sensitive debt contracts. Over the past
two decades, the debt markets have seen a proliferation of contracts designed to …

Bond ratings are usually first assigned by rating agencies to public debt at the time of
issuance and are periodically reviewed by the rating companies. If deemed warranted …

Securities created from a base of underlying receivables are sold to uninformed" individual"
and" institutional" hedgers. Institutions are more sophisticated than individuals because they …

In this article we explain how to use rating histories provided by the internal scoring systems
of banks and rating agencies in order to predict the future risk of a set of borrowers. The …

The modelling of default risk in debt securities involves making assumptions about the
stochastic process driv-ing default, the process generating the write-down in default, and risk …

This article proposes and empirically tests a two-step model to forecast the downgrade
probability of sterling-denominated Eurobonds. In the first step, the conditional expectation …

Bond ratings are usually first assigned by rating agencies to public debt at the time of
issuance and are periodically reviewed by the rating companies. If deemed warranted …

Page 1 Jens M. Kimmig Risiko- Controlling in der Unternehmung Unsicherheit im
Warentermingeschäft Page 2 Kimmig Risiko-Controlling in der Unternehmung Page 3 GABLER …

We adress the problem of calculating the required risk based capital (RBC) of a portfolio of
options subject to default risk. In order to solve this problem, an actuarial approach is …

Rating migration analysis entails the actuarial estimation of transition probabilities for obligor
credit risk ratings, with emphasis on estimation of empirical default probabilities …