In this paper, we propose Vasicek-type models for estimating portfolio-level probability of default (PD). With these Vasicek models, asset correlation and long-run PD (LRPD) for a risk-homogeneous ...

We need to do a quick lesson on possibility versus probability to tie up our worry section. Just because something is possible, does not mean that it is highly probable. Often, possibility and ...

A history of the selection of the widely used significance level leaves much to be desired. Statisticians and non-statisticians daily select the level of statistical significance to be used for ...

Since Russia’s invasion of Ukraine four months ago, a question that keeps popping up in conversation with colleagues – and with relatives, from Washington to Paris – is: Should they get out of town ...

The U.S. economy faces an “uncomfortably high” 48% probability of slipping into a recession within the next 12 months, according to Mark Zandi, Chief Economist at Moody's Analytics. Zandi shared this ...

The Kamakura Risk Information Services version 5.0 Jarrow-Chava reduced form default probability model (abbreviated KDP-JC5) makes default predictions using a sophisticated combination of financial ...

The method we've used to track the probability of recession in the U.S. since the U.S. Treasury yield curve first inverted in October 2022 is about to do something it hasn't done before. It's going to ...