Modelling Dependencies in Credit Risk Management
- Topics:
- Commercial Lending
- Tags:
- Business Operations,
- Credit Risk Management,
- ETH Zurich,
- Financial Services,
- Research & Development,
- Vector
- Source:
- ETH Zurich
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Overview: This paper commences with an overview of the three most widely used credit risk models developed by KMV, J.P. Morgan (CreditMetrics) and Credit Suisse First Boston (CreditRisk). The mathematical essentials of each model lie in the way the joint distribution of the so-called 'default indicators' is modeled, a vector of Bernoulli random variables. With the focus on these vectors the paper investigates two general frameworks for modeling such binary random events. It also shows how the KMV and CreditMetrics methodology can be translated into the framework of CreditRisk.
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Format: PDF | Size: 3,185KB | Date: Nov 2000 | Pages: 78
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