wichtigsten Industriemodelle (Credit Risk+, KMV, Credit Metrics, Credit Portfolio View). Behandelt werden ferner die Grundzüge von … survey intends to give a systematic overview of fields of problems, of approaches to modelling and of methods of risk … systems and proceed with the four central categories of credit risk models (loan loss distributions, firm value models …

As is well known, most models of credit risk have failed to measure the credit risks in the context of the global … to efforts to improve credit risk modeling for countries, corporations, financial institutions, and financial instruments …

Portfolio credit risk measurement is greatly affected by data constraints, especially when focusing on loans given to … simply ignore the effects of macroeconomic shocks on credit risk. Aiming to improve the measurement of portfolio credit risk … macroeconomic shocks into credit risk, recovering robust estimators when only short time series of loans exist. CIMDO recovers …

, a risk-adjusted balance sheet relating bank asset values to equity value, default risk, and bank funding costs. Even … though the results show that banks are found to be resilient to shocks, more work on systemic risk models could help analyze … systemic risk under stress scenarios. …

Value-at-Risk (VaR) models often are used to estimate the equity investment that is required to limit the default rate … income required by investors. While this issue has been identified in the market risk setting, it has yet to be recognized in … the credit risk literature. Credit VaR techniques, as typically described, are not an appropriate basis for setting equity …

The increasing ability to trade credit risk in financial markets has facilitated its dispersion across the financial … and other sectors. However, specific risks attached to credit risk transfer (CRT) instruments in a market with still …