LEADER 06184oam 22013934 450 001 9910968750703321 005 20250426110727.0 010 $a9786613824059 010 $a9781462361915 010 $a1462361919 010 $a9781452765280 010 $a1452765286 010 $a9781283511605 010 $a1283511606 010 $a9781451909159 010 $a1451909152 035 $a(CKB)3360000000443399 035 $a(EBL)3014554 035 $a(SSID)ssj0000943056 035 $a(PQKBManifestationID)11492236 035 $a(PQKBTitleCode)TC0000943056 035 $a(PQKBWorkID)10975471 035 $a(PQKB)10208021 035 $a(OCoLC)694141268 035 $a(IMF)WPIEE2006134 035 $a(MiAaPQ)EBC3014554 035 $a(IMF)WPIEA2006134 035 $aWPIEA2006134 035 $a(EXLCZ)993360000000443399 100 $a20020129d2006 uf 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aReview and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP) /$fKexue Liu, Jean Salvati, Renzo Avesani, Alin Mirestean 205 $a1st ed. 210 1$aWashington, D.C. :$cInternational Monetary Fund,$d2006. 215 $a1 online resource (35 p.) 225 1 $aIMF Working Papers 300 $a"May 2006." 311 08$a9781451863949 311 08$a1451863942 320 $aIncludes bibliographical references. 327 $a""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"" 327 $a""PROBABILITY AND MOMENT GENERATING FUNCTIONS""""References"" 330 3 $aThe paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model specifications used in this paper. Then, we proceed from the simplest model based on Bernoulli-distributed default events and known default probabilities to the fully-fledged Credit Risk+ implementation. The latter is based on the Poisson approximation and uncertain default probabilities determined by mutually independent risk factors. As an extension we present a Credit Risk+ specification with correlated risk factors as in Giese (2003). Finally, we illustrate the characteristics and the results obtained from the different models using a specific portfolio of obligors. 410 0$aIMF Working Papers; Working Paper ;$vNo. 2006/134 606 $aCredit$xManagement$xMathematical models 606 $aFinancial services industry$xState supervision 606 $aBanks and Banking$2imf 606 $aBanks$2imf 606 $aCapital and Ownership Structure$2imf 606 $aComputational Techniques$2imf 606 $aCredit risk$2imf 606 $aCredit$2imf 606 $aDepository Institutions$2imf 606 $aDiffusion Processes$2imf 606 $aDynamic Quantile Regressions$2imf 606 $aDynamic Treatment Effect Models$2imf 606 $aEconometrics & economic statistics$2imf 606 $aEconometrics$2imf 606 $aFinancial Institutions and Services: General$2imf 606 $aFinancial Risk and Risk Management$2imf 606 $aFinancial risk management$2imf 606 $aFinancial services law & regulation$2imf 606 $aFinancing Policy$2imf 606 $aGoodwill$2imf 606 $aInvestment Decisions$2imf 606 $aMathematical Methods and Programming: General$2imf 606 $aMicro Finance Institutions$2imf 606 $aMonetary economics$2imf 606 $aMonetary Policy, Central Banking, and the Supply of Money and Credit: General$2imf 606 $aMoney and Monetary Policy$2imf 606 $aMortgages$2imf 606 $aPortfolio Choice$2imf 606 $aTime-Series Models$2imf 606 $aValue of Firms$2imf 606 $aVector autoregression$2imf 615 0$aCredit$xManagement$xMathematical models. 615 0$aFinancial services industry$xState supervision. 615 7$aBanks and Banking 615 7$aBanks 615 7$aCapital and Ownership Structure 615 7$aComputational Techniques 615 7$aCredit risk 615 7$aCredit 615 7$aDepository Institutions 615 7$aDiffusion Processes 615 7$aDynamic Quantile Regressions 615 7$aDynamic Treatment Effect Models 615 7$aEconometrics & economic statistics 615 7$aEconometrics 615 7$aFinancial Institutions and Services: General 615 7$aFinancial Risk and Risk Management 615 7$aFinancial risk management 615 7$aFinancial services law & regulation 615 7$aFinancing Policy 615 7$aGoodwill 615 7$aInvestment Decisions 615 7$aMathematical Methods and Programming: General 615 7$aMicro Finance Institutions 615 7$aMonetary economics 615 7$aMonetary Policy, Central Banking, and the Supply of Money and Credit: General 615 7$aMoney and Monetary Policy 615 7$aMortgages 615 7$aPortfolio Choice 615 7$aTime-Series Models 615 7$aValue of Firms 615 7$aVector autoregression 700 $aLiu$b Kexue$01815697 701 $aAvesani$b Renzo$01815698 701 $aMirestean$b Alin$01815699 701 $aSalvati$b Jean$01815700 801 0$bDcWaIMF 906 $aBOOK 912 $a9910968750703321 996 $aReview and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)$94371214 997 $aUNINA