Credit Risk Measurement and Management: The Ironic Challenge in the Next Decade

14 Pages Posted: 7 Nov 2008

See all articles by Edward I. Altman

Edward I. Altman

New York University (NYU) - Salomon Center; New York University (NYU) - Department of Finance

Date Written: February 1998

Abstract

We are experiencing dynamic changes in the interest and concern with credit risk management despite historically low default rates and losses in the loan and corporate bond markets. The reasons are that lending institutions are increasingly comfortable with transacting their assets in counterparty arrangements whereby credit risk exposed is shifted. This motivation has helped to stimulate the congruence of several important ingredients for the sophisticated treatment of corporate credit evaluation and management including stand-alone valuation techniques, portfolio management approaches, comprehensive and reliable relevant data bases and the growth in credit derivative and other types of credit insurance structures. We expect these dynamic forces to continue over the next several years.

Suggested Citation

Altman, Edward I., Credit Risk Measurement and Management: The Ironic Challenge in the Next Decade (February 1998). NYU Working Paper No. FIN-98-003. Available at SSRN: https://ssrn.com/abstract=1296394

Edward I. Altman (Contact Author)

New York University (NYU) - Salomon Center ( email )

44 West 4th Street
New York, NY 10012
United States
212-998-0709 (Phone)
212-995-4220 (Fax)

New York University (NYU) - Department of Finance ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States

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