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Credit Risk Evaluation
Company: University of Heidelberg
Year Of Publication: 2002
Month Of Publication: July
Pages: 195
Download Count: 2397
View Count: 10336
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 3-10-2004
Publisher: Administrator
Summary
The thesis contributes to the evaluation and development of credit risk anagement methods. First, it offers an in-depth analysis of the well-known credit risk models Credit Metrics (JP Morgan), Credit Risk+ (Credit Suisse First Boston), Credit Portfolio View (McKinsey & Company) and the Vasicek-Kealhofer-model (KMV Corporation). Second, we develop the Credit Risk Evaluation model as an alternative risk model that overcomes a variety of deficiencies of the existing approaches. Third, we provide a series of new results about homogenous portfolios in Credit Metrics, the KMV model and the CRE model that allow to better understand and compare the models and to see the impact of modeling assumptions on the reported portfolio risk. Fourth, the thesis covers all methodological steps that are necessary to quantify, to analyze and to improve the credit risk and the risk adjusted return of a bank portfolio.
Author(s)
Wehrspohn, Uwe Sign in to follow this author
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