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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Hlavní autoři:	Avesani, Renzo G, Liu, Kexue, Mirestean, Alin
Médium:	E-kniha Kniha
Jazyk:	angličtina
Vydáno:	Washington International Monetary Fund 01.05.2006
Vydání:	1
Témata:	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
On-line přístup:	Získat plný text
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