Econometric Analysis of Financial Data in Risk Management

Dean Fantazzini

Applied Econometrics, 2009, vol. 14, issue 2, 100-127

Abstract: This part completes the consultation series of Dean Fantazzini dealing with econometric analysis of financial data in credit risk management. Particularly, analysis of multidimensional credit risk models is continued from the previous discussion

Keywords: Credit Risk; Value at Risk; Expected Shortfall; CreditMetrics; KMV; CreditRisk+; CreditPortfolioView; Backtesting; Berkowitz Test (search for similar items in EconPapers)
JEL-codes: C22 C32 C52 C58 G17 G32 (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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