Title: Design and application of credit portfolio model
Abstract: In order to make popular Credit Risk models more compatibility,we expect to set up a general credit portfolio modeling,which is a basis of system risk factors and non-system risk factors.Meanwhile,the paper introduces the conception of marginal risk and combines marginal risk contribution with credit portfolio risk management.At last,Credit Metrics as a special case is analyzed in depth,and the paper applies to a simple factor model.
Publication Year: 2004
Publication Date: 2004-01-01
Language: en
Type: article
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