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Record Nr. |
UNINA9910788414803321 |
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Autore |
Liu Kexue |
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Titolo |
Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) / / Kexue Liu, Jean Salvati, Renzo Avesani, Alin Mirestean |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2006 |
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ISBN |
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1-4623-6191-9 |
1-4527-6528-6 |
1-283-51160-6 |
1-4519-0915-2 |
9786613824059 |
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Descrizione fisica |
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1 online resource (35 p.) |
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Collana |
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Altri autori (Persone) |
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SalvatiJean |
AvesaniRenzo |
MiresteanAlin |
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Soggetti |
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Credit - Management - Mathematical models |
Financial services industry - State supervision |
Banks and Banking |
Econometrics |
Money and Monetary Policy |
Portfolio Choice |
Investment Decisions |
Financial Institutions and Services: General |
Banks |
Depository Institutions |
Micro Finance Institutions |
Mortgages |
Mathematical Methods and Programming: General |
Computational Techniques |
Monetary Policy, Central Banking, and the Supply of Money and Credit: General |
Time-Series Models |
Dynamic Quantile Regressions |
Dynamic Treatment Effect Models |
Diffusion Processes |
Financing Policy |
Financial Risk and Risk Management |
Capital and Ownership Structure |
Value of Firms |
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Goodwill |
Monetary economics |
Econometrics & economic statistics |
Financial services law & regulation |
Credit |
Vector autoregression |
Credit risk |
Financial risk management |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references. |
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Nota di contenuto |
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""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"" |
""PROBABILITY AND MOMENT GENERATING FUNCTIONS""""References"" |
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Sommario/riassunto |
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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. |
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