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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Hlavní autor: Liu, Kexue
Další autoři: Avesani, Renzo, Mirestean, Alin, Salvati, Jean
Médium: Časopis
Jazyk:English
Vydáno: Washington, D.C. : International Monetary Fund, 2006.
Edice:IMF Working Papers; Working Paper ; No. 2006/134
Témata:
On-line přístup:Full text available on IMF
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100 1 |a Liu, Kexue. 
245 1 0 |a Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) /  |c Kexue Liu, Jean Salvati, Renzo Avesani, Alin Mirestean. 
264 1 |a Washington, D.C. :  |b International Monetary Fund,  |c 2006. 
300 |a 1 online resource (35 pages) 
490 1 |a IMF Working Papers 
500 |a <strong>Off-Campus Access:</strong> No User ID or Password Required 
500 |a <strong>On-Campus Access:</strong> No User ID or Password Required 
506 |a Electronic access restricted to authorized BRAC University faculty, staff and students 
520 3 |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. 
538 |a Mode of access: Internet 
650 7 |a Investment Decisions  |2 imf 
650 7 |a Least Squares  |2 imf 
650 7 |a Portfolio Choice  |2 imf 
650 7 |a WP  |2 imf 
700 1 |a Avesani, Renzo. 
700 1 |a Mirestean, Alin. 
700 1 |a Salvati, Jean. 
830 0 |a IMF Working Papers; Working Paper ;  |v No. 2006/134 
856 4 0 |z Full text available on IMF  |u http://elibrary.imf.org/view/journals/001/2006/134/001.2006.issue-134-en.xml  |z IMF e-Library