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Modeling Credit Risk Factors

Chapter
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Part of the Springer Finance book series (FINANCE)

Abstract

Usually investors must be willing to take risks for their investments. Therefore, they should be adequately compensated. But what is a fair premium for risk compensation ? To answer this question it is essential to determine the key sources of risk. As we are concerned with credit risk, this section is devoted to the identification of credit risk factors. We show the current practice of credit risk factor modeling and present these methodologies within a rigorous mathematical framework.

Keywords

Recovery Rate Business Cycle Credit Risk Modeling Transition Term Structure 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2004

Authors and Affiliations

  1. 1.risklab germany GmbHMunichGermany

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