Credit Risk Management (Cont.)
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
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.:
- 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.
- Fantazzini, Dean, 2008. "Credit Risk Management," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 12(4), pages 84-137.
- 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.
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 references are entirely missing, you can add them using this form.