Title: A Comparison and Assessment on Modern Models of Credit Risk Measurement
Abstract: Credit risk is the main risk that financial institutes such as banks face.As the main task of national financial sectors and the regulatory agencies,credit risk management has been formed a series of special models of measurement in a long-term practice.For example,KMV,Credit Metrics,Credit Portfolio View and Credit Risk+ are taken as representatives,which are internationally well-known and commonly applied in the credit and risk management.Because of the similarities and differences in the aspects of theoretical basis,concepts construction,model assumption and measuring architecture,these models need to not only reflect the target of risk management,but also satisfy the feasibility of risk measurement,which is the requirement of the principle combining technical standards and system standards of risk quantification.
Publication Year: 2011
Publication Date: 2011-01-01
Language: en
Type: article
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