publication . Article . 2011

Models of Credit Risk Measurement

Hagiu Alina;
Open Access
  • Published: 01 Jan 2011 Journal: Ovidius University Annals, Economic Sciences Series, volume XI, issue 1 May, pages 912-917
Abstract
Credit risk is defined as that risk of financial loss caused by failure by the counterparty. According to statistics, for financial institutions, credit risk is much important than market risk, reduced diversification of the credit risk is the main cause of bank failures. Just recently, the banking industry began to measure credit risk in the context of a portfolio along with the development of risk management started with models value at risk (VAR). Once measured, credit risk can be diversified as any other financial risk. The main purpose of the paper is to present the most important methods of credit risk measurement used in the banking industry: Credit Metri...
Subjects
free text keywords: credit risk, models, management, strategy;, jel:G11, jel:G32, jel:G24

• Professor, PhD. Maurice Chenevoy, Directeur de l' Institute Universitaire Profesionalise, Universite D'Auvergne, Clermont 1, Clermont - Ferrand, France;

• Professor, PhD. Jacky Mathonnat, Vice Recteur de L'Universite D'Auvergne, Clermont 1, Clermont - Ferrand, France;

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