In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...

A classic book on credit risk management is updated to reflect the current economic crisis Credit Risk Management In and Out of the Financial Crisis dissects the 2007-2008 credit crisis and provides solutions for professionals looking to better manage risk through modeling and new technology....

Among the most crucial input parameters for credit portfolio risk models are the co-movements of default risks. Due to limited empirical evidence about the magnitude of correlations the New Basel Capital Accord sets standard requirements for calculating regulatory capital requirements, e.g. in...