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Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program
Company: International Monetary Fund
Company Url: Click here to open
Year Of Publication: 2006
Month Of Publication: May
Pages: 35
Download Count: 701
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 6-10-2006
Publisher: Administrator
Summary
The paper presents the basic Credit Risk+ model, and proposes some modifications. Thismodel could be useful in the stress-testing financial sector assesments process as abenchmark for credit risk evaluations. First, we present the setting and basic definitionscommon to all the model specifications used in this paper. Then, we proceed from thesimplest model based on Bernoulli-distributed default events and known default probabilitiesto the fully-fledged Credit Risk+ implementation. The latter is based on the Poissonapproximation and uncertain default probabilities determined by mutually independent riskfactors. As an extension we present a Credit Risk+ specification with correlated risk factorsas in Giese (2003). Finally, we illustrate the characteristics and the results obtained from thedifferent models using a specific portfolio of obligors.
Author(s)
Avesani, Renzo G. Sign in to follow this author
Liu, Kexue Sign in to follow this author
Mirestean, Alin Sign in to follow this author
Salvati, Jan Sign in to follow this author
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