There has been increasing availability of consumer credit in Zimbabwe, yet the credit
information sharing systems are not as advanced. Using frailty survival models on credit …

We investigate the impact of supply and demand shocks in the global crude oil market on
the CDX spread, in the context of a structural VAR model based on monthly data, over the …

The recent financial and sovereign debt crises emphasized the interdependence between
bank and sovereign default risk and showed that major shocks may lead to a self-reinforcing …

Systemically important banks are connected and their default probabilities have dynamic
dependencies. An extraction of default factors from cross-sectional credit default swap …

We provide a methodology to estimate a global credit risk factor from credit default swap
(CDS) spreads that can be very useful for risk management. The global risk factor (GRF) …

We provide a methodology to estimate a Global Credit Risk Factor (GCRF) from CDS
spreads using the information provided by the default-related component of observed …

We provide a methodology for credit risk analysis that can be embedded into a risk appetite
framework. We analyze the information content in CDS spreads to estimate the systematic …

It was evident that credit default swap (CDS) spreads have been highly correlated during the
recent financial crisis. Motivated by this evidence, this study attempts to investigate the …

We provide a methodology to estimate a global credit risk factor (GRF) from CDS spreads.
The estimated factor contains higher explanatory power on CDS spread fluctuations across …

This thesis worked on the application of advanced survival models in consumer credit risk
assessment, particularly to address issues of recurrent delinquency (or default) and recovery …