Document Search
Add To My Bookshelf Sign in or Register Save And Annotate
Keywords:

credit sign in to follow this
systemic sign in to follow this
default sign in to follow this
Categories:

VaR Uses sign in to follow this
--Credit Risk sign in to follow this
Half-Life:
Impact:
Discuss This Paper
Sign in to follow this page
Recent Comments
  more
A Survey of Cyclical Effects in Credit Risk Measurement
Company: Bank for International Settlements
Company Url: Click here to open
Year Of Publication: 2003
Month Of Publication: January
Pages: 43
Download Count: 686
View Count:
Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 8-16-2005
Publisher: Administrator
Summary
We survey both academic and proprietary models to examine how macroeconomic and systematicrisk effects are incorporated into measures of credit risk exposure. Many models consider thecorrelation between the probability of default (PD) and cyclical factors. Few models adjust loss rates(loss given default) to reflect cyclical effects. We find that the possibility of systematic correlationbetween PD and LGD is also neglected in currently available models.
Author(s)
Allen, Linda Sign in to follow this author
Saunders, Anthony Sign in to follow this author
This document's citation network:
Similar Documents:
Close window
Sign up in one step, no personal information required. Already a Member?



Email:
Repeat Email:
User Name:
Password:
Confirm Password:

Sign Up


Welcome to GloriaMundi!
Thanks for singning up



continue or edit your profile