A survey of cyclical effects in credit risk measurement models

We survey both academic and proprietary models to examine how macroeconomic and systematic risk effects are incorporated into measures of credit risk exposure. Many models consider the correlation between the probability of default (PD) and cyclical factors.(...)

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Year of publication:	2002-05-01
Authors:	Allen, Linda ; Saunders, Anthony
Publisher:	Salomon Center for the Study of Financial Institutions <New York, NY>
Subject:	Bank \| Kreditrisiko \| Konjunkturzyklus

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Extent:	236544 bytes 66 p. application/pdf
Series:	NYU Salomon Center for the Study of Financial Institutions - Credit & Debt Markets Research Program - Publications Working Paper ; 04 (2002)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846830