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Credit Risk Models in Practice - a Review

  • Conference paper
Credit Risk

Part of the book series: Contributions to Economics ((CE))

Abstract

Due to the changes in the new Basel Capital Accord for Credit Risk evaluation banks will have to concentrate more thoroughly on internal or external models to assess the risk adequately. Our paper reviews the current most populär models proposed by the industry not leaving out the theoretical background behind.

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Author information

Authors and Affiliations

  1. Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, Germany

    Stefan Trück & Jochen Peppel

Authors
  1. Stefan Trück
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  2. Jochen Peppel
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Editor information

Editors and Affiliations

  1. Institut für Statistik und Mathematische Wirtschaftstheorie, Universität Karlsruhe, 76128, Karlsruhe, Germany

    Georg Bol , Svetlozar T. Rachev  & Karl-Heinz Vollmer ,  & 

  2. DaimlerChrysler AG, RIC/AM, Postbox 2360, 89013, Ulm, Germany

    Gholamreza Nakhaeizadeh

  3. DZ Bank AG, COR, Platz der Republik, 60265, Frankfurt am Main, Germany

    Thomas Ridder

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© 2003 Springer-Verlag Berlin Heidelberg

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Trück, S., Peppel, J. (2003). Credit Risk Models in Practice - a Review. In: Bol, G., Nakhaeizadeh, G., Rachev, S.T., Ridder, T., Vollmer, KH. (eds) Credit Risk. Contributions to Economics. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-59365-9_15

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  • DOI: https://doi.org/10.1007/978-3-642-59365-9_15

  • Publisher Name: Physica-Verlag HD

  • Print ISBN: 978-3-7908-0054-8

  • Online ISBN: 978-3-642-59365-9

  • eBook Packages: Springer Book Archive

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