SURVEY OF CREDIT RISK MODELS IN RELATION TO CAPITAL ADEQUACY FRAMEWORK FOR FINANCIAL INSTITUTIONS

Journal of Governance and Regulation

Poomjai Nacaskul¹ 

关键词: Credit Risk;    Default Probability;    Capital Adequacy Framework;    Credit Derivatives;    Rating Transition;    Default (Asset Value) Process/Intensity Models;    Linear/Nonlinear Discriminant Analysis;    Loss Distribution;    Quantitative Modelling;   

DOI  :  10.22495/jgr_v5_i4_p6

学科分类：社会科学、人文和艺术（综合）

来源: Virtus Interpress

【 摘 要 】

This article (i) iterates what is meant by credit risks and the mathematical-statistical modelling thereof, (ii) elaborates the conceptual and technical links between credit risk modelling and capital adequacy framework for financial institutions, particularly as per the New Capital Accord (Basel II)’s Internal Ratings-Based (IRB) approach, (iii) proffer a simple and intuitive taxonomy on contemporary credit risk modelling methodologies, and (iv) discuses in some details a number of key models pertinent, in various stages of development, to various application areas in the banking and financial sector.

【 授权许可】

CC BY-NC