A critical review of the portfolio credit management models : A theoretical approach
Part of : Αρχείον οικονομικής ιστορίας ; Vol.XIX, No.1, 2007, pages 17-48
Issue:
Pages:
17-48
Author:
Abstract:
In this paper we try to analyze the most popular credit risk estimating models and to find out thepros and cons of them, in order to result in the most appropriate policy for a solvent creditmanagement. The various proposed portfolio credit models for estimating credit risk are separated toStatistical and Structural.Finally, we result that a combination of a statistical technique with the appropriate modern structuraltechnique, which is close to the specific credit risk problem that we face, is the best way for a solid creditrisk management.
Subject:
Subject (LC):
Keywords:
Credit Risk Portofolio Management, Structural Models, Statistical Models
Notes:
JEL classification: G1, G10, G2, C52.
