Debts and the Use of Models in Evaluating Credit Risk

Dimitris N. Chorafas

Chapter 5 in Modelling the Survival of Financial and Industrial Enterprises, 2002, pp 91-112 from Palgrave Macmillan

Abstract: Abstract The majority of bankers with whom I met during my research expressed the opinion that, in general, credit risk models should incorporate an element of compliance to policies established by the board, the rules set by regulators, and the law of the land. Many pressed the point that institutions and their credit risk systems should account for what happens at the tail of the credit distribution, the outliers shown in Figure 5.1 as an example.

Keywords: Credit Risk; Market Risk; Credit Institution; Credit Derivative; Counterparty Risk (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-50173-7_5

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DOI: 10.1057/9780230501737_5

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