publication . Other literature type . Doctoral thesis . 2002

Credit Risk Evaluation : Modeling - Analysis - Management

Wehrspohn, Uwe;
Open Access
  • Published: 01 Jan 2002
  • Publisher: Heidelberg University Library
  • Country: Germany
Abstract
An analysis and further development of the building blocks of modern credit risk management: -Definitions of default -Estimation of default probabilities -Exposures -Recovery Rates -Pricing -Concepts of portfolio dependence -Time horizons for risk calculations -Quantification of portfolio risk -Estimation of risk measures -Portfolio analysis and portfolio improvement -Evaluation and comparison of credit risk models -Analytic portfolio loss distributions The thesis contributes to the evaluation and development of credit risk management methods. First, it offers an in-depth analysis of the well-known credit risk models Credit Metrics (JP Morgan), Credit Risk+ (Cre...
Subjects
free text keywords: 330 Economics, 330
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