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 ...

Financial services companies offering credits need to assess the risk they are taking when accepting a credit. This mainly consists of determining the probability that the borrower will not repay the ...

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 ...