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Stochastic Models For Credit Risk

Author

Listed:
  • Nadia STOIAN

    (�Transilvania� University Brasov)

  • Mariana BALAN

    (�Athenaeum� University of Bucharest)

Abstract

Risk is a fundamental factor of business because of any activity you can not get profit without risk. Therefore, any economic entity trying to maximize profits by managing risk specific field of activity and by avoiding or transferring risk that it does not want to take. It is evident that an efficient banking strategy should include both programs and bank risk management procedures designed to actually minimize the likelihood of such risks and potential exposure of the bank. The paper presents some of the stochastic models used in the literature to determine and quantify the credit risk.

Suggested Citation

  • Nadia STOIAN & Mariana BALAN, 2012. "Stochastic Models For Credit Risk," Internal Auditing & Risk Management, Athenaeum University of Bucharest, vol. 1(26), pages 35-44, March.
    • Handle: RePEc:ath:journl:tome:26:v:1:y:2012:i:26:p:35-44
    as

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    References listed on IDEAS

    as
    1. Robert A. Jarrow, 2009. "Credit Risk Models," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 37-68, November.
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    More about this item

    Keywords

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    JEL classification:

    • C19 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Other
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • E59 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Other

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