Coverart for item
The Resource Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP), Kexue Liu

Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP), Kexue Liu

Label
Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)
Title
Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP)
Statement of responsibility
Kexue Liu
Creator
Contributor
Author
Subject
Genre
Language
eng
Summary
The paper presents the basic Credit Risk+ model, and proposes some modifications. This model could be useful in the stress-testing financial sector assessments process as a benchmark for credit risk evaluations. First, we present the setting and basic definitions common to all the model specifications used in this paper. Then, we proceed from the simplest model based on Bernoulli-distributed default events and known default probabilities to the fully-fledged Credit Risk+ implementation. The latter is based on the Poisson approximation and uncertain default probabilities determined by mutually independent risk factors. As an extension we present a Credit Risk+ specification with correlated risk factors as in Giese (2003). Finally, we illustrate the characteristics and the results obtained from the different models using a specific portfolio of obligors
Member of
Cataloging source
DcWaIMF
http://bibfra.me/vocab/lite/collectionName
IMF eLibrary
http://library.link/vocab/creatorName
Liu, Kexue
Government publication
international or intergovernmental publication
LC call number
K4452.I57
LC item number
L585 2006 ONLINE
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
  • Avesani, Renzo G
  • Liu, Kexue
  • Mirestean, Alin
  • Salvati, Jean
Series statement
IMF Working Paper
Series volume
WP/06/134
http://library.link/vocab/subjectName
  • Bernoulli Distribution
  • Computational Techniques
  • Credit Risk
  • Default Probabilities
  • Equation
  • Financial Institutions and Services: General
  • Argentina
Label
Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP), Kexue Liu
Instantiates
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2006134
Dimensions
unknown
Extent
1 online resource (35 pages)
Form of item
online
Isbn
9781451863949
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781451863949.001
Specific material designation
remote
System control number
(IMF)WPIEA2006134
Label
Review and Implementation of Credit Risk Models of the Financial Sector Assessment Program (FSAP), Kexue Liu
Publication
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
imfWPIEA2006134
Dimensions
unknown
Extent
1 online resource (35 pages)
Form of item
online
Isbn
9781451863949
Issn
1018-5941
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.5089/9781451863949.001
Specific material designation
remote
System control number
(IMF)WPIEA2006134

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