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...

Full description

Saved in:

Bibliographic Details
Main Authors:	Avesani, Renzo G, Liu, Kexue, Mirestean, Alin
Format:	eBook Book
Language:	English
Published:	Washington International Monetary Fund 01.05.2006
Edition:	1
Subjects:	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 Access:	Get full text
Tags:	Add Tag No Tags, Be the first to tag this record!

Be the first to leave a comment!