Credit Risk Evaluation: Modeling - Analysis - Management
Center for Risk & Evaluation, 2002-2003
195 Pages Posted: 14 Jun 2005
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
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