The Credit Portfolio Management by the Econometric Models: A Theoretical Analysis
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- Abdelkader Derbali, 2018. "The credit portfolio management by the econometric models: A theoretical analysis," Working Papers hal-01696010, HAL.
References listed on IDEAS
- A. Bensoussan & M. Crouhy & D. Galai, 1995. "Stochastic equity volatility related to the leverage effect II: valuation of European equity options and warrants," Applied Mathematical Finance, Taylor & Francis Journals, vol. 2(1), pages 43-60.
- Ali, Asghar & Daly, Kevin, 2010. "Macroeconomic determinants of credit risk: Recent evidence from a cross country study," International Review of Financial Analysis, Elsevier, vol. 19(3), pages 165-171, June.
- Crouhy, Michel & Galai, Dan & Mark, Robert, 2000. "A comparative analysis of current credit risk models," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 59-117, January.
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Keywords
Risk management; Credit risk; Default probability; Credit Portfolio View;All these keywords.
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