Gürtler, Marc; Heithecker, Dirk - Institut für Wirtschaftswissenschaften <Braunschweig> … - 2005
In the last decade, portfolio credit risk measurement has improved significantly. The currentstate-of-the-art models analyze the value of the portfolio at a certain risk horizon, e.g. one year. Mostpopular has become the Merton-type one-factor model of Vasicek, that builds the fundament of...