In this paper, we study the economic benets from using credit scoring models. We contribute to the literature by relating the discriminatory power of a credit scoring model to the optimal credit decision. Given the Receiver Operating Characteristic (ROC) curve of the credit scoring model, we...

Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...

The Legal Limits to Insurable Risk, Transactional Insurance Products,Legal and Regulatory Issues in Europe, Open Discussion...

IACPM is a non-profit industry association developed to Further the management of credit exposures by providing a forum for members to exchange ideas, foster research on credit portolio management, represent members before legislative and admistrative bodies...

Before - The use of ratings; During- Responses, Reactions, Lessons Learnt; After- BReakouts, Conclusions...

The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management for financial institutions. At the same time, the use and thevaluation of credit derivatives has been widely criticised as a result of the crisis. Over the pastdecade, credit...

Der vermehrte Einsatz innovativer Finanzprodukte wie Verbriefungen oder Kreditderivate und die Weiterentwicklung moderner Risikomanagementmethoden führt zu wesentlichen Veränderungen in den geschäftlichen Rahmenbedingungen der Kreditinstitute ...

Why should risk management systems account for parameter uncertainty? In order to answer this question, this paper lets an investor in a credit portfolio face non-diversifiable estimation-driven uncertainty about two parameters: probability of default and asset-return correlation. Bayesian...

Die Arbeitspapiere, die bisher zur Vorbereitung des dritten Basler Konsultationspapiers erschienen sind, lassen sich nach Ansicht der Autoren in zwei Gruppen unterteilen. Die eine konkretisiert wesentliche der im zweiten Konsultationspapier (CP2) vom Januar 2001 offenen Regelungen...