Credit Risk Management and Credit Derivatives
Part of the Universitext book series (UTX)
Credit risk management is an important issue in banking. In this chapter we give an overview of the models for calculating the default risk exposure of a credit portfolio.
- Egloff, D., Leippold, M., & Vanini, P. (2004). A simple model of credit contagion. EFA Maastricht Meetings Paper.Google Scholar
- Li, X. D. (1998). Constructing a credit curve. Credit Risk. A RISK Special Report.Google Scholar
- McGinty, L., & Ahluwalia, R. (2004). A model for base correlation calculation. Technical report. JP Morgan.Google Scholar
© Springer Nature Switzerland AG 2019