Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or … issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities …. We consider individual as well as correlated credit risks. -- compensator ; intensity ; credit risk ; default risk …

analysis relies on the non-linear integration theory of such semimartingale families. The Itô-Wentzell formula is used to prove …

We discuss how to assess the performance for credit scores under the assumption that for credit data only a part of the … ratio. -- credit rating ; credit score ; discriminatory power ; sample selection ; Gini coefficient ; accuracy ratio …

In this paper, the empirical relevance of the credit channel for the explanation of monetary policy transmission in … Germany during the period of monetary targeting from 1975 to 1998 is analyzed. While existing studies of the credit channel … empirical evidence for the effectiveness and relevance of a credit channel in Germany can be reported. -- vectorautoregressive …

Credit scoring methods aim to assess the default risk of a potential borrower. This involves typically the calculation … of a credit score and the estimation of the probability of default. One of the standard approaches is logistic … discriminant analysis, also referred to as logit model. This model maps explanatory variables for the default risk to a credit …

the credit market and the deposits market. Using the aggregated balance sheet of the banking sector, endogenous money is …. -- monetary policy ; Endogenous money ; industrial organization approach to banking theory ; money multiplier ; vector error …