From Fault Tree to Credit Risk Assessment: A Case Study
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Other versions of this item:
- Hayette Gatfaoui, 2004. "From Fault Tree to Credit Risk Assessment: A Case Study," EERI Research Paper Series EERI_RP_2004_05, Economics and Econometrics Research Institute (EERI), Brussels.
- Hayette Gatfaoui, 2008. "From Fault Tree to Credit Risk Assessment: A Case Study," Post-Print hal-00564963, HAL.
References listed on IDEAS
- Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
- Lawrence Fisher, 1959. "Determinants of Risk Premiums on Corporate Bonds," Journal of Political Economy, University of Chicago Press, vol. 67, pages 217-217.
- M.J.B. Hall, 1996.
"The amendment to the capital accord to incorporate market risk,"
BNL Quarterly Review,
Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
- M.J.B. Hall, 1996. "The amendment to the capital accord to incorporate market risk," Banca Nazionale del Lavoro Quarterly Review, Banca Nazionale del Lavoro, vol. 49(197), pages 271-277.
- Robert A. Jarrow & Fan Yu, 2008.
"Counterparty Risk and the Pricing of Defaultable Securities,"
World Scientific Book Chapters,in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 20, pages 481-515
World Scientific Publishing Co. Pte. Ltd..
- Robert A. Jarrow, 2001. "Counterparty Risk and the Pricing of Defaultable Securities," Journal of Finance, American Finance Association, vol. 56(5), pages 1765-1799, October.
- Hayette Gatfaoui, 2003. "From Fault Tree to Credit Risk Assessment: An Empirical Attempt," Risk and Insurance 0308003, University Library of Munich, Germany.
- Linda Allen & Anthony Saunders, 2003. "A survey of cyclical effects in credit risk measurement model," BIS Working Papers 126, Bank for International Settlements.
More about this item
Keywordscredit risk; default probability; failure rate; fault tree; reliability; survival probability;
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-11-09 (All new papers)
- NEP-FMK-2005-11-09 (Financial Markets)
- NEP-RMG-2005-11-09 (Risk Management)
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