The Jarrow Turnbull model is a reduced-form credit risk pricing method, utilizing dynamic analysis of interest rates to calculate default probability.

How can portfolio and risk managers measure the risks of default and to evaluate the supply chain and completive impacts of a company's default?

Loss given default refers to the estimated credit loss that results if a borrower defaults on their financial obligation.

The empirical results suggest that average asset correlation is a decreasing function of probability of default and an increasing function of asset size. When compared with the average asset ...

We develop a mixed-frequency, tree-based, gradient-boosting model designed to assess the default risk of privately held firms in real time. The model uses data from publicly-traded companies to ...