In this issue we publish the fourth part of professor Fantazzini’s consultation series on econometric analysis of financial data in risk management. This time it deals with the topic of credit risk management. After having described one-dimensional models of credit risk in the previous issue...

This part completes the consultation series of Dean Fantazzini dealing with econometric analysis of financial data in credit risk management. Particularly, analysis of multidimensional credit risk models is continued from the previous discussion