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

By: Contributor(s): Material type: TextTextSeries: IMF Working PapersPublisher: Washington : International Monetary Fund, 2006Copyright date: ©2006Edition: 1st edDescription: 1 online resource (35 pages)Content type:
  • text
Media type:
  • computer
Carrier type:
  • online resource
ISBN:
  • 9781451909159
Subject(s): Genre/Form: Additional physical formats: Print version:: Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)LOC classification:
  • HG3751.A84 2006
Online resources:
Contents:
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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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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Electronic reproduction. Ann Arbor, Michigan : ProQuest Ebook Central, 2024. Available via World Wide Web. Access may be limited to ProQuest Ebook Central affiliated libraries.

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