On advanced credit risk model

• Autorzy: Krzysztof Jajuga
• Języki publikacji: EN

Abstrakty

EN

Risk modeling is the one of the most advanced fields of financial research, where the applications of quantitative methods play a crucial role. This particularly refers to credit risk, which, besides market risk and operational risk, is the basic type of risk occurring in financial institutions and enterprises. Credit risk faced by one party is a risk that the other party will not make contractual payments specified in the agreement made by these two parties. Credit risk occurs in debt contracts such as loans, bonds, but it also occurs in the other types of obligations, like forwards, swaps or options. For simplicity, in this paper we consider credit risk with the reference to loans. (fragment of text)

Słowa kluczowe

EN

Risk assessment; Stochastic models; Credit risk modelling

PL

Ocena ryzyka; Modele stochastyczne; Modelowanie ryzyka kredytowego

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2007
• Tom: Matematyczne i ekonometryczne metody oceny ryzyka finansowego
• Strony: 65--72

Twórcy

autor

Krzysztof Jajuga

• Uniwersytet Ekonomiczny we Wrocławiu

Bibliografia

• Bluhm C., Overbeck L., Wagner C.: An introduction to credit risk modeling. Chapman and Hall, Boca Raton 2003.
• Jarrow R.A., Turnbull S.M.: Pricing derivatives on financial securities subject to credit risk. "Journal of Finance" 1997, No 50.
• Merton R.C.: On the pricing of corporate debt; the risk structure of interest rates. "Journal of Finance" 1974, No 29.