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Credit Risk Management

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  • Fantazzini, Dean

    ()
    (Moscow School of Economics – Moscow State University)

Abstract

The journal continues publishing the consultation of Professor Dean Fantazzini. In this issue econometric analysis of financial data in risk management is discussed. Basic concepts of credit risk management in the context of recent Basel-II agreement recommendations are introduced. One-dimensional models of credit risk for assessing the borrower’s default probability are described.In the second part, which would appear in the first issue of 2009 and would also finish the whole presentation, the author plans to discuss multidimensional models of credit risk management for assessment of the default probability of «the borrowers' portfolio»

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Bibliographic Info

Article provided by Publishing House "SINERGIA PRESS" in its journal Applied Econometrics.

Volume (Year): 12 (2008)
Issue (Month): 4 ()
Pages: 84-137

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Handle: RePEc:ris:apltrx:0025

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Web page: http://appliedeconometrics.cemi.rssi.ru/

Related research

Keywords: Credit Risk; Discriminant Analysis; Altman Model; Logit models; ROC; AUC; Loss Functions; Panel Models; Merton Model; ZPP; Recovery Rate; Exposure at Default; Value at Risk; Expected Shortfall;

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References

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Citations

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Cited by:
  1. Bologov , Yaroslav, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 29(1), pages 45-66.
  2. Raffaella Calabrese, 2011. "Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs," Working Papers 201134, Geary Institute, University College Dublin.
  3. Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.
  4. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
  5. Fantazzini , Dean, 2009. "Credit Risk Management (Cont.)," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 13(1), pages 105-138.

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