Description: Discusses capital markets, bank loan financing, surplus relief reinsurance, and sound capital structures. From the 1988 Record of Society of Actuaries, Vol. 14, No. 2.

Description: Abstract: A model for analyzing the probability and severity of default of sovereign entities and banks. The methodology analyzes the risks inherent in the investment of debt of sovereign governments and large financial institutions side-by-side, taking into consideration macroeconomic interactions among the sovereign fiscal and monetary authorities, the financial institutions, and the real economy. The signature aspect of the methodology is that it adapts a Merton-style default model to use explicit measures of sovereign assets and asset volatility.

Description: Article AERF in The Actuary, May 1979, Volume 13, Number 5