A comparative anatomy of credit risk models pdf

Share This Paper. Background Citations. Methods Citations. Results Citations. Citation Type. Has PDF. Publication Type. More Filters. Parameterizing Credit Risk Models. Approaches for modeling and estimating individual credit risk have been considerably improved during the last years, and latterly practitioners and researchers in the banking industry increasingly … Expand. Highly Influenced. View 11 excerpts, cites methods and background.

In this article, I compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies. My study is distinct from previous studies by … Expand.

View 5 excerpts, cites background. Evaluating Credit Risk Models. Over the past decade, commercial banks have devoted many resources to developing internal models to better quantify their financial risks and assign economic capital. These efforts have been … Expand. View 5 excerpts, cites methods and background.

For single horizon models of defaults in a portfolio, the effect of model and distribution choice on the model results is well understood. Collateralized Debt Obligations in particular have sparked … Expand. Comparative analysis of alternative credit risk models: An application on German middle market loan portfolios.

In recent years new methods and models have been developed to quantify credit risk on a portfolio basis. During the last two years, credit risk has been playing a key role in risk management issues. Practitioners, academics and regulators have been fully involved in the process of developing, studying … Expand. View 1 excerpt, cites background. The problem how to evaluate and monitor the quality of credit risk models has recently received much attention.

This paper offers a comparative anatomy of two especially influential benchmarks for credit risk models, J. We show that, despite differences on the surface, the underlying mathematical structures are similar. The structural parallels provide intuition for the relationship between the two models and allow us to describe quite precisely where the models differ in functional form, distributional assumptions, and reliance on approximation formulae.

We then design simulation exercises which evaluate the effect of each of these differences individually. PDF: Full Paper. Disclaimer: The economic research that is linked from this page represents the views of the authors and does not indicate concurrence either by other members of the Board's staff or by the Board of Governors. The economic research and their conclusions are often preliminary and are circulated to stimulate discussion and critical comment. The Board values having a staff that conducts research on a wide range of economic topics and that explores a diverse array of perspectives on those topics.

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