Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)

The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model specificatio...

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Bibliographische Detailangaben
Hauptverfasser: Avesani, Renzo G, Liu, Kexue, Mirestean, Alin
Format: E-Book Buch
Sprache:Englisch
Veröffentlicht: Washington International Monetary Fund 01.05.2006
Ausgabe:1
Schlagworte:
Bernoulli Distribution
Credit
Default Probabilities
Economic Models
Financial Sector
Management
Mathematical models
Poisson Distribution
Portfolio Credit Risk
Financial Institutions and Services: General
Banks
Mathematical Methods and Programming: General
Computational Techniques
Micro Finance Institutions
Portfolio Choice
Investment Decisions
Other Depository Institutions
Mortgages
ISBN:9781451863949, 9781451909159, 1451909152, 9781452765280, 1451863942, 1452765286
Online-Zugang:Volltext
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Inhaltsangabe:
  • Intro -- Contents -- I. INTRODUCTION -- II. THE BASIC MODEL SETTING -- III. MODEL 1: A SIMPLE MODEL WITH NON-RANDOM DEFAULT PROBABILITIES -- IV. INTRODUCING THE POISSON APPROXIMATION -- V. MODEL 2: THE MODEL WITH KNOWN PROBABILITIES REVISITED -- VI. MODEL 3: THE MODEL WITH RANDOM DEFAULT PROBABILITIES -- VII. THE LATENT FACTORS ASSUMPTION -- VIII. MODEL 4: EXTENSION OF CREDIT RISK+ WITH CORRELATED FACTORS -- IX. MODEL SUMMARY -- X. NUMERICAL IMPLEMENTATION -- XI. NUMERICAL EXAMPLES USING THE CREDIT RISK TOOLBOX -- XII. CONCLUSION -- PROBABILITY AND MOMENT GENERATING FUNCTIONS -- References