Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP).

Intro -- Contents -- I. INTRODUCTION -- II. THE BASIC MODEL SETTING -- III. MODEL 1: A SIMPLE MODEL WITH NON-RANDOM DEFAULT PROBABILITIES -- IV. INTRODUCING THE POISSON APPROXIMATION -- V. MODEL 2: THE MODEL WITH KNOWN PROBABILITIES REVISITED -- VI. MODEL 3: THE MODEL WITH RANDOM DEFAULT PROBABILITIES -- VII. THE LATENT FACTORS ASSUMPTION -- VIII. MODEL 4: EXTENSION OF CREDIT RISK+ WITH CORRELATED FACTORS -- IX. MODEL SUMMARY -- X. NUMERICAL IMPLEMENTATION -- XI. NUMERICAL EXAMPLES USING THE CREDIT RISK TOOLBOX -- XII. CONCLUSION -- PROBABILITY AND MOMENT GENERATING FUNCTIONS -- References.

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Year of publication:	2006
Authors:	Avesani, Renzo G
Other Persons:	Liu, Kexue (contributor) ; Mirestean, Alin (contributor)
Publisher:	Washington : International Monetary Fund
Subject:	Kreditrisiko \| Credit risk \| Finanzsektor \| Financial sector \| Wirtschaftsmodell \| Economic model