Measurement of the Credit Risk

Danut Culetu, Andreea Gabriela Baltac and Alexandru Ursache
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Danut Culetu: „Andrei Saguna” University of Constanta
Andreea Gabriela Baltac: „Artifex” University of Bucharest/Academy of Economic Studies Bucharest
Alexandru Ursache: Academy of Economic Studies Bucharest

Romanian Statistical Review Supplement, 2013, vol. 61, issue 3, 73-80

Abstract: Credit risk should, in general, be considered as a component of market risk, as explained in previous pages. However, the methods of analysis of this type of risk are more extensive than those used in the case of market risk just as a result of difficulties information may be obtained and the period of time as long as an investor (an individual, a company, the bank) must make reference. Loss of credit risk is usually calculated as the difference between the current value of the portfolio and its value at a given moment in the future.

Keywords: credit risk; methods of analysis; capital market; statistical methods (search for similar items in EconPapers)
Date: 2013
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