06184oam 22013934 450 991096875070332120250426110727.0978661382405997814623619151462361919978145276528014527652869781283511605128351160697814519091591451909152(CKB)3360000000443399(EBL)3014554(SSID)ssj0000943056(PQKBManifestationID)11492236(PQKBTitleCode)TC0000943056(PQKBWorkID)10975471(PQKB)10208021(OCoLC)694141268(IMF)WPIEE2006134(MiAaPQ)EBC3014554(IMF)WPIEA2006134WPIEA2006134(EXLCZ)99336000000044339920020129d2006 uf 0engur|n|---|||||txtccrReview and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) /Kexue Liu, Jean Salvati, Renzo Avesani, Alin Mirestean1st ed.Washington, D.C. :International Monetary Fund,2006.1 online resource (35 p.)IMF Working Papers"May 2006."9781451863949 1451863942 Includes bibliographical references.""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""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.IMF Working Papers; Working Paper ;No. 2006/134CreditManagementMathematical modelsFinancial services industryState supervisionBanks and BankingimfBanksimfCapital and Ownership StructureimfComputational TechniquesimfCredit riskimfCreditimfDepository InstitutionsimfDiffusion ProcessesimfDynamic Quantile RegressionsimfDynamic Treatment Effect ModelsimfEconometrics & economic statisticsimfEconometricsimfFinancial Institutions and Services: GeneralimfFinancial Risk and Risk ManagementimfFinancial risk managementimfFinancial services law & regulationimfFinancing PolicyimfGoodwillimfInvestment DecisionsimfMathematical Methods and Programming: GeneralimfMicro Finance InstitutionsimfMonetary economicsimfMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralimfMoney and Monetary PolicyimfMortgagesimfPortfolio ChoiceimfTime-Series ModelsimfValue of FirmsimfVector autoregressionimfCreditManagementMathematical models.Financial services industryState supervision.Banks and BankingBanksCapital and Ownership StructureComputational TechniquesCredit riskCreditDepository InstitutionsDiffusion ProcessesDynamic Quantile RegressionsDynamic Treatment Effect ModelsEconometrics & economic statisticsEconometricsFinancial Institutions and Services: GeneralFinancial Risk and Risk ManagementFinancial risk managementFinancial services law & regulationFinancing PolicyGoodwillInvestment DecisionsMathematical Methods and Programming: GeneralMicro Finance InstitutionsMonetary economicsMonetary Policy, Central Banking, and the Supply of Money and Credit: GeneralMoney and Monetary PolicyMortgagesPortfolio ChoiceTime-Series ModelsValue of FirmsVector autoregressionLiu Kexue1815697Avesani Renzo1815698Mirestean Alin1815699Salvati Jean1815700DcWaIMFBOOK9910968750703321Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)4371214UNINA