The algorithm for optimization of a credit portfolio has not been fully demonstrated. This
paper fills the gap in the literature by presenting a general approach for optimizing a credit …

Past cycles of sovereign lending and default in emerging markets suggest that debt crises
will recur at some point. In addressing debt crises it has proven helpful to distinguish …

We use a dynamic term structure model with default and observable factors to study the
interaction between macro variables and the Brazilian sovereign yield curve. We also …

This paper examines the determinants of recovery rates of corporate defaulted bonds in the
emerging markets. We use data on defaulted bonds from Moody's ultimate recovery …

Using disaggregated data from the Brazilian stock market, we calculate default probabilities
for 30 different economic sectors. Empirical results suggest that domestic macroeconomic …

There is a vast amount of literature criticizing the Basel Committee approach to the credit risk
regulation, more specifically, the Internal Ratings-Based (IRB), as an excessively …

The use of quantitative methods constitutes a standard component of the institutional
investors' portfolio management toolkit. In the last decade, several empirical studies have …

An attempt has been made in the present study to predict the default occurrence of selected
pharmaceutical sector firms using MDA, Logit function and structural model. Study …

The use of quantitative methods constitutes a standard component of the institutional
investors' portfolio management toolkit. In the last decade, several empirical studies have …

Traditionnellement, les courbes de taux servent à renseigner les investisseurs sur les
rendements obligataires, même si elles contiennent également une information sur …