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Credit Risk Models/Ushahidi
Rekodi ya ushahidi wa mbinu

Credit Risk Models

Credit risk models estimate the probability that a borrower defaults and the resulting distribution of credit losses. The structural approach was introduced by Robert C. Merton in 1974, treating a firm's equity as a call option on its assets, and was later extended into the KMV distance-to-default framework and the CreditMetrics rating-transition portfolio model published by J.P. Morgan in 1997.

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Structural and Portfolio Credit Risk Models (Merton, KMV, CreditMetrics)
Rekodi ya mbinu ya kiajenda · regression-model / finance
  • Merton, R. C. (1974). On the Pricing of Corporate Debt: The Risk Structure of Interest Rates. The Journal of Finance, 29(2), 449-470. · DOI 10.1111/j.1540-6261.1974.tb03058.x
  • Gupton, G. M., Finger, C. C., & Bhatia, M. (1997). CreditMetrics Technical Document. J.P. Morgan, New York. · URL
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Same method familyEvent Studymachine-suggested · Relational suggestion, not evidence.Same method familyInterest Rate Modelsmachine-suggested · Relational suggestion, not evidence.Same method familyLiquidity Risk Modelsmachine-suggested · Relational suggestion, not evidence.See alsoLogistic Regressionmachine-suggested · Relational suggestion, not evidence.Same method familyVaR Backtestingmachine-suggested · Relational suggestion, not evidence.

Hali ya ushahidi

Sources recorded, not reviewed

Bibliographic sources are present. Claim-level evidence review has not been performed.

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