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Review and implementation of credit risk models of the financial sector assessment program (FSAP) /
The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model specificatio...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
2006.
|
| Colección: | IMF working paper ;
WP/06/134. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Avesani, Renzo G., |e author. | |
| 245 | 1 | 0 | |a Review and implementation of credit risk models of the financial sector assessment program (FSAP) / |c prepared by Renzo G. Avesani [and others]. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c 2006. | ||
| 300 | |a 1 online resource (33 pages) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
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| 347 | |a text file |2 rdaft |0 http://rdaregistry.info/termList/fileType/1002 | ||
| 490 | 1 | |a IMF working paper ; |v WP/06/134 | |
| 504 | |a Includes bibliographical references. | ||
| 588 | 0 | |a Print version record. | |
| 520 | |a The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model specifications used in this paper. Then, we proceed from the simplest model based on Bernoulli-distributed default events and known default probabilities to the fully-fledged Credit Risk+ implementation. The latter is based on the Poisson approximation and uncertain default probabilities determined by mutually independent risk factors. As an extension we present a Credit Risk+ specification with correlated risk factors as in Giese (2003). Finally, we illustrate the characteristics and the results obtained from the different models using a specific portfolio of obligors. | ||
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 505 | 0 | |a Contents -- I. INTRODUCTION -- II. THE BASIC MODEL SETTING -- III. MODEL 1: A SIMPLE MODEL WITH NON-RANDOM DEFAULT PROBABILITIES -- IV. INTRODUCING THE POISSON APPROXIMATION -- V. MODEL 2: THE MODEL WITH KNOWN PROBABILITIES REVISITED -- VI. MODEL 3: THE MODEL WITH RANDOM DEFAULT PROBABILITIES -- VII. THE LATENT FACTORS ASSUMPTION -- VIII. MODEL 4: EXTENSION OF CREDIT RISK+ WITH CORRELATED FACTORS -- IX. MODEL SUMMARY -- X. NUMERICAL IMPLEMENTATION -- XI. NUMERICAL EXAMPLES USING THE CREDIT RISK TOOLBOX -- XII. CONCLUSION | |
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Credit |x Management |x Mathematical models. | |
| 650 | 0 | |a Financial services industry |x State supervision. | |
| 650 | 0 | |a Risk management |x Econometric models. | |
| 650 | 6 | |a Gestion du risque |x Modèles économétriques. | |
| 650 | 6 | |a Crédit |x Gestion |x Modèles mathématiques. | |
| 650 | 6 | |a Services financiers |x Contrôle de l'État. | |
| 650 | 7 | |a Risk management |x Econometric models |2 fast | |
| 650 | 7 | |a Credit |x Management |x Mathematical models |2 fast | |
| 650 | 7 | |a Financial services industry |x State supervision |2 fast | |
| 758 | |i has work: |a Review and implementation of credit risk models of the financial sector assessment program (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGyRMfjtcjxt7YwbHWGQ9C |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
| 776 | 0 | 8 | |i Print version: |t Review and implementation of credit risk models of the financial sector assessment program. |d [Washington, D.C.] : International Monetary Fund, ©2006 |w (OCoLC)77530518 |
| 830 | 0 | |a IMF working paper ; |v WP/06/134. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3014554 |z Texto completo |
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