He is author of the book Macrofinancial Risk Analysis, published in the Wiley Finance series with foreword by Nobel Laureate Robert Merton, as well as the author of more than 20 peer-reviewed articles in academic journals. He has BS degrees in mathematics and economics from Duke University, where he graduated summa cum laude, and a doctorate in economics from the University of Oxford.
Fixed income and equity investors face growing pressure to measure and monitor the ESG risk of their portfolios.
Fallen Angel risk results from the possibility and price impact of bond downgrades from investment grade (IG) into high yield (HY).
We test the early warning power of the CreditEdge Deterioration Probability (DP) metric for Fallen Angel downgrades.
Since the Asia crisis, most countries in Asia have displayed a longer term secular trend of falling default risk.
The Deterioration Probability - At a Glance
The Deterioration Probability Methodology