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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Avesani, Renzo G. (Autor)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: [Washington, D.C.] : International Monetary Fund, 2006.
Colección:IMF working paper ; WP/06/134.
Temas:
Credit > Management > Mathematical models.
Financial services industry > State supervision.
Risk management > Econometric models.
Gestion du risque > Modèles économétriques.
Crédit > Gestion > Modèles mathématiques.
Services financiers > Contrôle de l'État.
Risk management > Econometric models
Credit > Management > Mathematical models
Financial services industry > State supervision
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