Global Credit Risk Modeling
- Topics:
- Investment and Capital Markets
- Tags:
- Barra,
- Business Operations,
- Finance,
- Financial Planning,
- Financial Services,
- Investment,
- Model,
- Modeling,
- Research & Development
- Source:
- Barra
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Overview: The global credit risk model provides detailed factor models for four major markets, covering credit-risky bonds denominated in US dollars, yen, sterling and euro, and simpler sway-based models of credit spread risk in other markets. This paper describes the structure of the models - the spread factor models, their integration with the interest rate risk models and the issuer- and security-specific risk models.
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Format: PDF | Size: 168KB | Date: Oct 2002 | Pages: 27
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