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

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)
The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model specifications used in this paper. Then, we proceed from... READ MORE...

Publication date: May 2006
ISBN 9781451863949
$15.00

Add to Cart by clicking price of the language and format you'd like to purchase

Available Languages and Formats

Paperback

Publication date: May 2006

PDF

Publication date: May 2006

ePub

Publication date: May 2006

Mobi

Publication date: May 2006

English