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Credit Risk Management

Author Info

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

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;

Find related papers by JEL classification:

  • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
  • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
  • C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
  • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
  • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
  • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
  • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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Cited by:

  1. Raffaella Calabrese, 2012. "Improving Classifier Performance Assessment of Credit Scoring Models," Working Papers 201204, Geary Institute, University College Dublin.
  2. Fantazzini , Dean, 2009. "Credit Risk Management (Cont.)," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 13(1), pages 105-138.
  3. 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.
  4. Penikas, H., 2010. "Financial Applications of Copula-Models," Journal of the New Economic Association, New Economic Association, issue 7, pages 24-44.
  5. Bologov , Yaroslav, 2013. "A copula-based approach to portfolio credit risk modeling," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 29(1), pages 45-66.
  6. Sangcheol Song, 2014. "Entry mode irreversibility, host market uncertainty, and foreign subsidiary exits," Asia Pacific Journal of Management, Springer, vol. 31(2), pages 455-471, June.

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