Appendix: Credit Portfolio Modeling

Johannes Wernz

Chapter 11 in Bank Management and Control, 2014, pp 101-102 from Springer

Abstract: Abstract A credit portfolio model (CPM) is a credit VaR approach (CVaR). Credit portfolio models are mostly designed as multi-factor models.

Keywords: Credit Portfolio Models (CPM); Multi-factor Model; Regional Industrial Sector; Visit Switzerland; Basel Accord (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/978-3-642-40374-3_11

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