scholarly journals Investigating the Sources of Default Risk : Lessons from Empirically Evaluating Credit Risk Models

2001 ◽  
Vol 2001 (15) ◽  
pp. 1-53 ◽  
Author(s):  
Gurdip Bakshi ◽  
◽  
Dilip B. Madan ◽  
Frank X. Zhang
Keyword(s):  
Credit Risk ◽  
Default Risk ◽  
Risk Models

Assessment of Credit Risk Models on Rule 144A Corporate Bonds

2018 ◽  
Keyword(s):  
Credit Risk ◽  
Default Risk ◽  
Credit Ratings ◽  
The United States ◽  
Convertible Bonds ◽  
Discrete Models ◽  
Corporate Bond ◽  
Risk Models ◽  
Bond Portfolio ◽  
Portfolio Managers

Accurate assessment of credit risk can improve the performance of bond portfolio managers. Using credit ratings and market-based credit risk models from S&P and Bloomberg, we investigate the performance of four credit risk models in the Rule 144A corporate bond markets in the United States over the 1990–2015 period. The authors divide their sample into straight bonds and convertible bonds and find that (1) when it comes to straight bonds, discrete models such as S&P’s credit ratings and Bloomberg ratings determine yields more accurately than the continuous market-based models of S&P and Bloomberg; (2) with regard to convertible bonds, a convertible option has a stronger effect than credit ratings in determining yields, and only Bloomberg default risk ratings, not S&P credit ratings, determine the yields; (3) for convertible bonds, the continuous market-based models of S&P and Bloomberg affect yields more significantly than discrete models; and (4) when it comes to predicting actual defaults, Bloomberg models are superior to S&P’s models, and the Bloomberg discrete model has more power than its continuous counterpart.

Selection versus averaging of logistic credit risk models

2014 ◽  
Vol 16 (5) ◽  
pp. 39-52 ◽  
Author(s):  
Evelyn Hayden ◽  
Alex Stomper ◽  
Arne Westerkamp
Keyword(s):  
Credit Risk ◽  
Risk Models
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