A Simple Credit Risk Model with Individual and Collective Components
| Alternative title: | Ein einfaches Kreditrisikomodell mit individuellen und gemeinsamen Komponenten |
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| Year of publication: |
1999-03-01
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| Authors: | Barth, Jörn |
| Publisher: |
Universität <Mannheim> / Lehrstuhl für Allgemeine Betriebswirtschaftslehre, Risikotheorie, Portfolio Management und Versicherungswirtschaft |
| Subject: | Portfolio Selection | Swap | Stochastik | Kreditrisiko | Zinsfuß |
- 0 Introduction
- 1 The Loss Process
- 1.1 Definition
- 1.2 Modelling the Risks
- 1.3 Treatment of the Exposure Process
- 1.4 Treatment of the Default Process
- 1.5 Comparison to the Approaches of CreditMetrics and CreditRisk+
- 2 Modelling the Correlation
- 2.1 Economic Surroundings
- 2.2 Theoretical Models
- 2.3 Response Functions
- 2.4 Empirical Estimations
- 3 Conclusion
- 4 Extensions
Persistent link: https://www.econbiz.de/10005842389