Credit Risk Evaluation: Modeling - Analysis - Management

Center for Risk & Evaluation, 2002-2003

195 Pages Posted: 14 Jun 2005

See all articles by Uwe Wehrspohn

Uwe Wehrspohn

Wehrspohn GmbH & Co. KG; University of Wuerzburg

Abstract

An analysis and further development of the building blocks of modern credit risk management:

Definitions of default; Estimation of default probabilities; Exposures; Recovery Rates; Pricing; Concepts of portfolio dependence; Time horizons for risk calculations; Quantification of portfolio risk; Estimation of risk measures; Portfolio analysis and portfolio improvement; Evaluation and comparison of credit risk models; Analytic portfolio loss distributions.

Keywords: Default probability, exposure, pricing, portfolio management, risk measure, portfolio improvement

JEL Classification: C13, C15, C52

Suggested Citation

Wehrspohn, Uwe, Credit Risk Evaluation: Modeling - Analysis - Management. Center for Risk & Evaluation, 2002-2003. Available at SSRN: https://ssrn.com/abstract=670884

Uwe Wehrspohn (Contact Author)

Wehrspohn GmbH & Co. KG ( email )

Spiegelstraße 39
Mannheim, D-68305
Germany
+49 (0) 621 764 46 68 (Phone)
+49 (0) 621 764 48 02 (Fax)

HOME PAGE: http://www.wehrspohn.de

University of Wuerzburg ( email )

Josef-Stangl-Platz 2
Wuerzburg, Bavaria 97070
Germany
+49 (0)931 / 350 12 40 (Phone)
+49 (0)931 / 312 95 5 (Fax)

HOME PAGE: http://www.fzrm.uni-wuerzburg.de

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