Keyword

default probability

Description: The likelihood that a borrower or debt issuer will fail to meet its contractual payment obligations, as assessed in credit risk analysis.

Primary topic: Credit Risk and Financial Regulations (40%)

Wikidata ID: wiki/Q778470

OpenAlex ID: keywords/default-probability

Risk management and financial institutions

2006 · John C. Hull · 781

A framework for assessing the systemic risk of major financial institutions

2009 · Xin Huang, Hao Zhou, et al. · Journal of Banking & Finance · 636

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Credit Risk : Pricing, Measurement, and Management

2003 · Darrell Duffie, Kenneth J. Singleton · 587

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

2010 · HUI CHEN · The Journal of Finance · 563

Credit Risk

2003 · Darrell Duffie, Kenneth J. Singleton · Princeton University Press eBooks · 560

Credit Risk Modeling

2004 · David Lando · Springer eBooks · 525

Macroeconomic Dynamics and Credit Risk: A Global Perspective

2006 · M. Hashem Pesaran, Til Schuermann, et al. · Journal of money credit and banking · 407

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Credit Risk Modeling: Theory and Applications

2004 · David Lando · Project Muse (Johns Hopkins University) · 375

Financial Distress and the Cross‐section of Equity Returns

2011 · LORENZO GARLAPPI, HONG YAN · The Journal of Finance · 340

Systemic Risk Contributions

2011 · Xin Huang, Hao Zhou, et al. · Journal of Financial Services Research · 338

Credit risk drivers: Evaluating the contribution of firm level information and of macroeconomic dynamics

2008 · Diana Bonfim · Journal of Banking & Finance · 320

Description-text related soft information in peer-to-peer lending – Evidence from two leading European platforms

2015 · Gregor Dorfleitner, Christopher Priberny, et al. · Journal of Banking & Finance · 308

Ratings quality over the business cycle

2012 · Heski Bar-Isaac, Joel Shapiro · Journal of Financial Economics · 297

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Are Firms Underleveraged? An Examination of the Effect of Leverage on Default Probabilities

2005 · CARLOS A. MOLINA · The Journal of Finance · 296

The Levered Equity Risk Premium and Credit Spreads: A Unified Framework

2009 · Harjoat S. Bhamra, Lars-Alexander Kuehn, et al. · Review of Financial Studies · 273

Macroeconomic Conditions and the Puzzles of Credit Spreads and Capital Structure

2010 · Hui Chen · National Bureau of Economic Research · 234

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Default Probabilities for Mortgages

1994 · James B. Kau, Donald C. Keenan, et al. · Journal of Urban Economics · 234

Credit Ratings and Credit Risk: Is One Measure Enough?

2016 · Jens Hilscher, Mungo Wilson · Management Science · 233

A study of debt servicing capacity applying logit analysis

1977 · Gershon Feder, Richard E. Just · Journal of Development Economics · 231

An Introduction to Credit Risk Modeling

2002 · Christian Bluhm, Ludger Overbeck, et al. · Chapman & Hall/CRC eBooks · 227

The price of complexity in financial networks

2016 · Stefano Battiston, Guido Caldarelli, et al. · Proceedings of the National Academy of Sciences · 226

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Recovery rates, default probabilities, and the credit cycle

2009 · Max Bruche, Carlos González-Aguado · Journal of Banking & Finance · 215

The Cross‐Section of Credit Risk Premia and Equity Returns

2014 · NILS FRIEWALD, CHRISTIAN WAGNER, et al. · The Journal of Finance · 208

A Markov Model for the Term Structure of Credit Risk Spreads

2008 · Robert A. Jarrow, David Lando, et al. · WORLD SCIENTIFIC eBooks · 193

Should SME exposures be treated as retail or corporate exposures? A comparative analysis of default probabilities and asset correlations in French and German SMEs

2003 · Michel Dietsch, Joël Petey · Journal of Banking & Finance · 193

Works count: 3,437

Citation count: 27,540