Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP).

Intro -- Contents -- I. INTRODUCTION -- II. THE BASIC MODEL SETTING -- III. MODEL 1: A SIMPLE MODEL WITH NON-RANDOM DEFAULT PROBABILITIES -- IV. INTRODUCING THE POISSON APPROXIMATION -- V. MODEL 2: THE MODEL WITH KNOWN PROBABILITIES REVISITED -- VI. MODEL 3: THE MODEL WITH RANDOM DEFAULT PROBABILITIES -- VII. THE LATENT FACTORS ASSUMPTION -- VIII. MODEL 4: EXTENSION OF CREDIT RISK+ WITH CORRELATED FACTORS -- IX. MODEL SUMMARY -- X. NUMERICAL IMPLEMENTATION -- XI. NUMERICAL EXAMPLES USING THE CREDIT RISK TOOLBOX -- XII. CONCLUSION -- PROBABILITY AND MOMENT GENERATING FUNCTIONS -- References.