Eichberger, Jürgen; Rheinberger, Klaus; Summer, Martin - Oesterreichische Nationalbank - 2011
Credit risk models used in quantitative risk management treat credit risk analysis conceptually like a single person … decision problem. From this perspective an exogenous source of risk drives the fundamental parameters of credit risk … as well as equilibrium allocations in the presence of credit risk. The authors use the model to discuss the conceptual …