Titlebook: Credit Risk; Measurement, Evaluat Georg Bol,Gholamreza Nakhaeizadeh,Karl-Heinz Vollm Conference proceedings 2003 Physica-Verlag Heidelberg

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Credit Risk978-3-642-59365-9Series ISSN 1431-1933 Series E-ISSN 2197-7178

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Thomas Christiaans,Matthias Rossed by Merton, we consider the sovereign’s ability-to-pay, characterised by the sum of discounted future payment surpluses, as the underlying process. Its implicit volality is inferred from market spreads. We demonstrate for the case of Latin America and Russia that our approach indicates default events in advance of agencies and markets.

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Die Position der Wissenschaft im Fernsehen,-dimensional distribution function and the corresponding marginal distributions, provides useful tools for dependence modelling. The difficulty in employing copulae for internal credit risk models arises from the appropriate choice of a copula function.

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Thomas Christiaans,Matthias Rossst type, a time series of the firm’s equity values can be used to derive an Ability-to-Pay Process (APP), showing for every point in time the firm’s ability to pay, see e.g. [6]. For the second type, equity processes are not available, but still every borrower somehow admits an APP, depending on the

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