The assessment of default risk is also critical in the valuation of corporate bonds and credit derivatives such as basket-default swaps. There is an important distinction between default risk under ...

The probability of U.S. corporate defaults has more than doubled in the past several years due to persistently high interest ...

The CDS spread is a market-based measure of a country’s level of default risk. For the countries with a CDS spread, we use it to determine the CFR Sovereign Risk Index value. For those without a ...

CDR is related to the constant payment rate (CPR), which estimates MBS prepayment risk rather than default risk. The constant default rate (CDR) evaluates losses within mortgage-backed securities ...