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 )

Nietzschestraße 20
Mannheim, D-68165
Germany
+49 (0) 621 14626754 (Phone)

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

University of Wuerzburg ( email )

Sanderring 2
Wuerzburg, Bavaria 97070
Germany
+49 (0)931 / 3184806 (Phone)
+49 (0)931 / 312 95 5 (Fax)

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

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