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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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Avesani, Renzo G. (Auteur)
Format: Électronique eBook
Langue:Inglés
Publié: [Washington, D.C.] : International Monetary Fund, 2006.
Collection:IMF working paper ; WP/06/134.
Sujets:
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
Accès en ligne:Texto completo
Table des matières:
  • 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

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