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The Evolution of Credit Risk Modelling
Company: University of Athens
Year Of Publication: 2004
Month Of Publication: April
Pages: 27
Download Count: 2622
View Count: 8263
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 6-9-2004
Publisher: Administrator
Summary
During the last few years there is an impressive evolution of credit risk models.In this paper we try to survey the most well known approaches to credit riskmeasurement. We start presenting traditional risk measurement approaches suchas expert systems, rating systems and credit scoring models. Then we go furtherto modern risk measurement approaches including structural models reducedform models exposure models, and portfolio models and finally we discuss aboutproprietary hybrid models.Keywords: Credit, risk, default risk, rating models, credit scoring models.JEL Classification Numbers: G15, G21, G28
Author(s)
Georgakopoulos, Vasileios Sign in to follow this author
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