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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Автор: Liu, Kexue
Інші автори: Avesani, Renzo, Mirestean, Alin, Salvati, Jean
Формат: Журнал
Мова:English
Опубліковано: Washington, D.C. : International Monetary Fund, 2006.
Серія:IMF Working Papers; Working Paper ; No. 2006/134
Предмети:
Онлайн доступ:Full text available on IMF

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