Credit Risk Management (Cont.)

Dean Fantazzini

Applied Econometrics, 2009, vol. 13, issue 1, 105-138

Abstract: In this issue we publish the fourth part of professor Fantazzini’s consultation series on econometric analysis of financial data in risk management. This time it deals with the topic of credit risk management. After having described one-dimensional models of credit risk in the previous issue the author is analyzing multidimensional models which make it possible to assess the default probability of borrower’s portfolio

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 (3)

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