Advanced Search
MyIDEAS: Login

Credit Risk Management (Cont.)

Contents:

Author Info

  • Fantazzini , Dean

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

Abstract

In this issue we publish the fourth part of professor Fantazzini’s consultation series on econometric analysis of financial data in risk management. This time it deals with the topic of credit risk management. After having described one-dimensional models of credit risk in the previous issue the author is analyzing multidimensional models which make it possible to assess the default probability of borrower’s portfolio

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://pe.cemi.rssi.ru/pe_2009_1_105-138.pdf
File Function: Full text
Download Restriction: no

Bibliographic Info

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

Volume (Year): 13 (2009)
Issue (Month): 1 ()
Pages: 105-138

as in new window
Handle: RePEc:ris:apltrx:0028

Contact details of provider:
Web page: http://appliedeconometrics.cemi.rssi.ru/

Related research

Keywords: Credit Risk; Value at Risk; Expected Shortfall; CreditMetrics; KMV; CreditRisk+; CreditPortfolioView; Backtesting; Berkowitz Test;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 12(4), pages 84-137.
  2. Maria Giuli & Dean Fantazzini & Mario Maggi, 2008. "A New Approach for Firm Value and Default Probability Estimation beyond Merton Models," Computational Economics, Society for Computational Economics, vol. 31(2), pages 161-180, March.
  3. Sreedhar T. Bharath & Tyler Shumway, 2008. "Forecasting Default with the Merton Distance to Default Model," Review of Financial Studies, Society for Financial Studies, vol. 21(3), pages 1339-1369, May.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

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.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:ris:apltrx:0028. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Anatoly Peresetsky).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.