MODELING CREDIT RISK THROUGH CREDIT SCORING

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Adrian Cantemir CALIN ; Oana Cristina POPOVICI (2014)
  • Journal: Internal Auditing and Risk Management, volume 34, issue 1 June, pages 105-116
  • Subject: credit risk, credit scoring models, Z – score, O – score, failure models | the structural approach and thereduced form approach. In addition to these perspectives, credit risk assessment has been conducted through a series of techniques such as credit scoring models, which form the traditional approach. This paper examines the evolution of these initiatives. [Credit risk governs all financial transactions and it is defined as the risk of suffering a loss due to certain shifts in the credit quality of a counterpart. Credit risk literature gravitates around two main modeling approaches]
    • jel: jel:G30 | jel:G33 | jel:G32
    acm: ComputingMilieux_MISCELLANEOUS

Credit risk governs all financial transactions and it is defined as the risk of suffering a loss due to certain shifts in the credit quality of a counterpart. Credit risk literature gravitates around two main modeling approaches: the structural approach and the reduced ... View more
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