Experts in risk for the world's leading institutions

Fair Pricing of MDB Sovereign Loans
In this study, we use the split of probability weight between the moderate and extreme-severity defaults found in the historical transition matrix to infer a split in risk adjusted probability weight between these two default states in the risk adjusted matrix and, thereby, to infer the appropriate magnitude of sovereign spreads for PCT inclusive claims.
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Our co-authored paper, "Securitization Reform to Boost European Competitiveness," has been published in the Eurofi Regulatory Update. This timely analysis…

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