Gürtler, Marc; Heithecker, Dirk - 2005 - This Version: 2005-04-19
In the last decade, portfolio credit risk measurement has improved significantly. The current state-of-the-art models analyze the value of the portfolio at a certain risk horizon, e.g. one year. Most popular has become the Merton-type one-factor model of Vasicek, that builds the fundament of the...