Risk

Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and ...

Common ordinal models, including the ordered logit model and the continuation ratio model, are formulated by a common score (ie, a linear combination of given explanatory variables) plus rank-specific ...
Seeking Alpha

Credit Spreads And Default Probabilities: A Simple Model Validation Example

Traders in bonds and credit default swaps are bombarded with information on the default probabilities implied by credit spreads using a simple ratio. This ratio predicts that the credit spread will be ...
Risk

Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio

This paper addresses the building of obligor-level hazard rate corporate probability of default models for stress testing, departing from the predominant practice in wholesale credit modeling of ...
UBS

US Recession probabilities -- Part 1

What is the probability of a US recession? UBS Research uses a variety of recession variability models to predict the likelihood of the US heading into a recession. Read our three-part series to learn ...